There are really only two kinds...hardware and software. How exactly are you getting on the internet? What do you mean when you say you're not on a network or wireless? If you're connected straight to a cable modem or DSL modem, then you are probably fine with just a software firewall. A hardware firewall would usually be part of a router. They do the same thing, but a hardware firewall is a better first line because the router is a much simpler device and so I think there is less of a chance that an attack will pierce the firewall with some kind of workaround or loophole.
The software firewall is in the sys prefs. Turn it on, and turn on as few of the ports as you can get away with. That's pretty much it. You will need to open some ports for IM and for P2P.
Also FWIW, BT is minimal risk. There is an option in the menu that says "discoverable" -- as long as it is not checked, you should not be highly vulnerable. I leave mine off too, but mostly for power savings on battery.
EDIT: The software firewall is at Preferences -> Sharing -> Firewall tab. Click the start button. Then uncheck anything you don't need. The only ports I have open are Bluetooth phone sharing, MSN and AIM. Also note that these ports are for transmissions that come IN from the network. So, for instance, you don't need the SMTP port open to access an SMTP server to send an e-mail. You only need it if your computer is acting as the SMTP server.
