I prefer not relying on what's built in to Windows, and have been using COMODO Firewall (Free) for many years. Now I'm using it on Win10, so I can be sure that the rules that I set continue to apply the way they always have in the past.
(EDIT: Although I did have to specifically disable the Windows Defender Firewall, as it detecting another Firewall in use and it previously being switched off in Win7 apparently wasn't enough for it to actually disable it properly on Win10.)
I recently read that Malwarebytes has acquired Binisoft, the maker of an interface that many apparently use for Windows Firewall, so that may be an alternative option for anyone who isn't a fan of the COMODO Firewall.