So much misinformation..
If all you run is plain jane windows, and never run executeables from untrusted sources, and have filesharing shut off windows is "secure" as hell. Why? There is absolutely nothing to hack. No listening ports.
Of course, ICQ potentially punches some holes as it does listen on ports, as does filesharing, or any other third party program out there. This is when you want some sort of firewall device.
I personally prefer just to NAT my machine behind a linux box turned into a router. The only problem with this is that I cannot play some games which use directplay, or peer/peer connections without some rather intensive firewall rulesets which gets complex FAST.
And no, having someone attempt to connect to a common subseven port is NOT bad. It's something that will happen constantly. These are just morons scanning for people that have it installed, not targetting you individually. I should show you guys server logs of all the "hacking attempts" that are made against our webservers.
Reminds me of the time I got a frantic call from a customer because someone was *gasp* PINGING their firewall. Yeesh.
Now.. if you run windows to host sites, I pity you and wish you the best of luck.
Securing a box which needs services open is considerably more challenging than a home PC that does nothing but make outgoing connections.
Still, firewalls for home PC's are a good idea. You never know what port some idiotic programmer will open on your box, with some off-the-wall software you install. But I could also put up a win98 box right now and give you the IP, and no one would be able to "hack" it. The firewall I have is more for my own laziness than anything. I don't want to have to even think about security on my home box, I just want to install shit and play.
-Phil