I don't use a Firewall because I don't like Firewalls - they slow down my Computer and waste my time with Popups.
I don't use a Virus Checker for the same reason and that I'm too cheap to buy one.
I don't buy stupid speed programs because they are probably more dangerous that not using a Firewall.
If Microsoft put a Firewall in Windows - I use it. I already use the Windows Firewall and that's got me three and a half years without any attack.
I make sure I don't download Porn on Kazaa and its fine.