I use Safing's Portmaster and their SPN.

Portmaster is free (I think) and is similar to a firewall but runs at app level giving you very fine insight and control to how apps and processes are connecting to networks. Its pretty eye opening, actually. For example, I use Syncthing and did not realize it also syncs to third-party websites with somewhat sketchy sounding URLs (like phonereviews.com or some such). Change a setting in Portmaster and that access is stopped. Features like that, and more. I like seeing how my computer is connecting to networks.

Their SPN is cool, too I'm not sure I'm going to adequately explain how it works but its sort of like tor onion routing mixed with VPN. Every app or process connecting to a network gets its own identity (its own entry/exit nodes and IP) and is basically onion routed over multiple hops to its destination. You've got some degree of control over where your entry and exit nodes are but SPN by default chooses an exit node close to the destination. You can even choose whether to route for more privacy (3-5 hops), balanced (2-3 hops), or as VPN (single hop).

There's a lot of fine tuning you can do with both Portmaster and SPN for those that like that level of control. But default settings are quite good for most.