If you access the Net from home using a DSL or cable modem (CM) connection that is always on, you definitely need a firewall. Why? Well, most hacks on the Internet happen because of automated port scans: "robots" scanning the Internet for open ports. Hackers use the results of these scans to decide what to hack. An always-on connection will be picked up by an automated scan and will probably be broken into (for more background information on hackers, read this list of frequently asked questions).
On the other hand, if you're a dialup user, you only need a firewall if you're worried about a targeted attack: a hacker deciding to specifically break into your computer.
News: Firewalls
