Also you need something to protect your outbound connection attempts... most of those hardware routers/firewalls won't do anything else except protect your inbound connections. I said most, not all, because there are some nice routhers/firewalls out there that will do both for you.
I have my hardware one as well, but still I like to see some software one along with my avast! antivirus. Just playing on a safe side and common sense... also, not being paranoid by installing tons of other security related programs on my machine. I have my hardware router/firewall, Kerio as a software firewall, avast! Pro antivirus, Spywareblaster and as healing utilities Spybot and Ad-aware personal edition. Nothing less nothing more. I don't even remember those times when we used to find tons of spyware on our machines. Ad-aware and Spybot can't even find anything any more since I run Spywareblaster... just few cookie entries and that's all.
Also, always switch to common sense mode when browsing the internet, do not visit suspicious sites... of course we can not always tell which exactly falls into that category, but still.. those porn sites and casino sites as well as some other sites like crack/patch/serials pages are full of nasty stuff...
Take care and WELCOME to forums agent86oz !