I would say that it comes down to how risky of a position do you forsee putting yourself into? For me, i use
1). Hardware based NAT firewall (protects from incoming connections)
2). Windows firewall
3). An AV application

I find the Windows built-in firewall perfectly suitable as I don't classify myself as a risky user. I don't install much software at all, I don't pirate anything, I don't get software from peer-to-peer applications, I don't use software cracks or keygens, and I don't hang around websites and such offering any of these things. I keep up to date on all of my software patches and OS patches. And generally if I have a desire to look at an adult based website, I simply fire up a virtual machine running something like like puppy linux with firefox and I'm pretty secure there.