Blackice and ZoneAlarm are good, but imho, tiny firewall has worked out great for me, has features the other ones dont and its free too.
best thing to do is go
here and see how open to the world you are. once i set up tiny, it said i was stealth.
anyone who uses cable or dsl definately does need a firewall!
if you -think- you dont, think again.
oh yea.. linux firewall is great too if you know what your doing.