A good firewall is a firewall that does basic packet/application level filtering. Yes, are Watchguard does do them quite well.

Another, even as important thing to think about is:

1. What are you planning to do with it? A first level? 2nd?, think about the design...
2. Are you comfortable to manage it? (Is the company gonna send you to some training?)
3. Will it scale enough for future expansion?
4. Will it work with your existing environment?
5. Support/Maintenance?

Some of the "soft" requirements that you MUST think about ...

In my view, any firewall is as good as the person who implements it

Oh by the way, Cisco's firewall suck! Bad interface, complicated, complex, simply ugly...

If you run lots of MS IISes...you might wanna consider using MS ISA Server

Cheers
Sanjay - Microsoft MVP - Enterprise Security