Hi cwesley et al.,
IPv6 may be a valid argument, but I doubt if your Internet provider already enables this on your connection.
Windows Firewall does a fine job on inbound connections. AIS firewall supplements this (maybe supplants on a case-by-case base, I don't know): you can define "friend" IP's and allow/disallow outbound and inbound connections depending on IP (friend or non-friend), application and port. I bet most of you didn't bother actually setting this up, neither did I. This is similar to trusted/non-trusted zones in Internet Explorer, but more finegrained and applicable to more than just your browser.
No harm is done running both Windows and AIS firewall simultaneously. I don't remember setting any AIS rule manually, and it at least does provide a measure of outbound protection, for what it's worth (there are voices claiming that outbound protection is not very useful, since the baddy already resides on your pc). You gain a more finegrained control over incoming and outgoing connections; this may be desirable in some cases.
When you uninstall an application, its AIS firewall rules seem unaffected. You may want to clean these up every once and a while.
Best regards,