i would always advise people to run a firewall of some sort, because that just adds an extra layer of difficulty for anyone trying to attack a Linux computer.
Im going to be experimenting soon with setting up networks of computers all with default Linux installations (different distributions) that havent been hardened at all, and seeing which ones are the easiest to hack into. I would expect it to be fairly straight forward to be honest =/
My router has a built in firewall, which is probably good enough for my needs. Probably the main reason windows needs firewalls in place is not to stop hackers, but to stop being infected from the many worms/virii moving round the internet. Wheras Linux is not at all likely to become infected by anything like that, implementing a firewall will definitely help keep the less skilled attacker out