First off, welcome to the club, hope you enjoy yourself.
Second, yes, a firewall may
be a good idea -- but not for the reasons that you have to protect yourself from Windows: the plethora of viruses, Trojan horses, crap and corruption that affect Windows do not affect Linux. Now, that doesn't mean that you won't experience bad boys and girls trying to break into your machine (particularly, but not limited to, those in China, Korea and former Soviet-bloc countries), but your machine by default will protect you from almost every typical break-in attempt. You must use "good" passwords (meaning at least eight characters including one or more upper case letters, one or more numbers, one or more punctuation characters), but, generally, you're pretty break-in proof.
If you have a high-speed internet connection, a external router is a good idea (also for Windows); for example, Linksys routers manage your connection to the internet and provide a firewall for about $40. The router connects to your modem (DSL, cable, whatever) and provides multiple Ethernet connections for your computers and other Ethernet-based equipment. Worth looking into.
Other than that, simply follow good practice. Browse with Firefox
(with, say, the Add Block
add-ons), get your mail with Thunderbird (and add the Spamato
junk mail add-on for example) and life will be good. Take a look at DenyHosts http://denyhosts.sourceforge.net
and see if you like the idea of what it does (I've been running it for a couple of years now and it really works and makes my life easier).
There are all kinds of ways to secure your system and you need to do some reading (and asking here) for ideas, but try not to go overboard until you get a good grasp of why you're going to do something; don't just wily-nilly install everything available without knowing what you're doing and why.
Hope this helps some.