Could anyone tell me a good firewall for MS Server 2003. Thanks

Cisco PIX or a properly configured Linux-based firewall should both do fine to protect your server/network/data center.

Depends on the enviroment and the user base

Firewalls could be anything from hardware to software based.
Watchguard, raptor, sonicwall, and as adam mentioned, pix.
ISA, Zone Alarm, and Tiny for software bases.

You might want to add more information so that we can have a better understanding of your requirements.

The three hardware based firewall's I recommend are the following:

Sonciwall, SOHO Watchguard, Cisco PIX.

Nice thing about all of these is that they support VPN as well, although you usually have to pay extra for xx amount of VPN connections

I personally use both a Cisco PIX and the SOHO Watchguard at work for our local firewalling. Since I work for a system integrator/reseller, we've sold many of these to businesses along with the Sonicwall too...