You shouldn't have to but common home routers seem to be quirky as fvck. If you are experiencing connection-related problems, it couldn't hurt to forward them.
edit: I've never had to once to play an online game (running a server is different). I guess I haven't been on a router for more than a couple years, but even during then I've played a lot of games. One time we had problems with Age of Mythology over the LAN and tried forwarding but that wasn't even the problem so I later turned it off when it worked.