A hardware firewall like a router is all you really need.
You only need a software firewall running if you're ultra paranoid and it gives you a secure feeling; don't mind useless software gyrating away 24/7, and/or don't understand malware/spyware/trojans, etc...
IE 8 has smart-screen filtering and if i ever visit any infected website, my anti-virus program warns me.
Also Grim, i think US has the most number of infected websites than any other country. Moreover, i use Internet only for visiting vista and seven forums and checking my emails and stuffs. Still, its recommended to use a firewall.