firewalls .... which? hmm

I don't use a firewall anymore. I've always found them far too intrusive, and anyone determined to get into your system will not be stopped.

Last firewall I did use was zonealarm. If I did decide to use a firewall I'd fell safest with a freeware that's community developed TBH.

What do you mean exceptions list? bit vague.

I'm using Comodo (only the firewall, not the Antivirus). In order to create your rules the Firewall Security Level has to be set to the 'Custom Policy Mode' level.
After this, enter into the config program (Firewall->Advanced->Firewall Behavior Settings->Alert Settings) and set the 'Alert Frequency Level' to 'Very High', otherwise comodo don't alert you of every connection.
After this, you can enter the 'Network Security policy' page and create every rule you need. Remember that there isn't a single 'vision' for all the firewalls. Every one is using a specific way to cope with the connections and the rules that limit them.
Also if you know ZA, it's better if you take a look at the comodo manual.