I've tried it myself and it's a major improvement however if it would be even better some firewall developing software firms might sue Microsoft.
Now it is viewed as targeting those people who wouldn't have used a firewall if Windows Firewall would not be there. But I don't think it is meant for competing with ZoneAlarm or the others.
Is whole anti-trust issue is really a problem, as it basically forces Microsoft to make some inferior products (this way Windows Firewall isn't seen as a competitor so software makers that make personal firewall don't loose clients) only to evade the legal action.  

To be honest as I install windows very often i just hate to install all the other third-party software just to do basic things. The firewall is a good example as you partically cannot connect to the net without one (well u can but you won't stay long Smiley )
Now that's about to be solved with SP2 but there are other software of this kind, download manager for example ( I cannot belive that IE still hasn't got the ability to resume a download)