If your comptuer is connected to broadband all the time, and especially if it's on all the time, you definitely should get some sort of firewall running. If you're using dial-up, I wouldn't worry about it.
IMO, it's never a bad idea to have a firewall running. A "hardware" firewall in the form of a router is an excellent first line of defense against outside intrusion. A "software" firewall (such as ipfw, built into your Mac OS) in addition to that is an excellent second line of defense.