Personally, I consider a firewall and an anti-virus just part of practicing Safe HEX regardless of the OS I'm using, though I know a lot of Linux users disagree with me.
Linux has a much better security model out of the box than Windows (of course, that's sort of like saying "a closed door is more secure than an open one"), and it is true that there are no Linux viruses *currently* in the wild, but there is no such thing as "immune to viruses." What one person can build another can crack.
Linux's primary AV security is that it has such a small market share it's not a target. But companies running big commercial websites on Linux servers are frequently a target of attacks, because they have things (like credit card numbers) that crackers want.
For Ubuntu, especially for someone new, I would recommend the
Firestarter firewall--it's basically a frontend for iptables and very easy to configure. It's in the repos.
There's a lot of sites about iptables about, but this
rc.firewall site is probably as good as any for an intro. (An rc.firewall script is a program for configuring iptables--it's one of those things that's easy to understand once you drill down into it, but looks like a bunch of gibberish the first time you see it.)
I currently run AVG for Linux as an anti-virus. It's free, it's command line and has no GUI; it's as un-obnoxious as any AV I have ever used, runs in the background, updates itself automatically, and generally does its job and leaves me alone. (I used to run F-Prot for Linux, but they made some changes to the install that I found cumbersome, even though overall I had been a big F-Prot fan for over 15 years of Windows and Linux.)