It is an interesting discussion. Modern home routers do a good job at hiding home PCs from port scanners on the internet, as anyone who visits GRC (above post) will testify. If your router is leaky, or you do not have any firewall device between your modem and PC, it is probably a wise investment to get one or it's time to request a replacement from your ISP if the device is their property.
With most people today having broadband connections from their router between their PCs and their ISP, with NAT and private IP addresses in the range 192.168.xxx.xxx, what is the function of a software firewall on the user PC?
I use Linux versions on several multibooting PCs, and have never set up UFW, IPTables, IPchains or other Firewall management software. I have the same browsing habits on Linux as I do on Windows. It would be pretty easy for someone who had penetrated my system to scan my keyboard buffer for the occurrence of "sudo" then log the next few tens of keystrokes to get my root password. Once and they would have a pretty good guess. Twice, and they would be certain.
But I don't get hacked, or at least, not in away that has ever harmed me, my PC or has ever been in any way noticeable.
Windows firewall is so passive I don't notice it at all. I cannot find a pfirewall.log file in any of my systems. Is it doing anything at all?
Then again, I don't online game or practice anything other than safe hex, so why should I be troubled.