I'm of two minds on this, For security conscious people(like the regulars on this board) I think inbound protection is enough. We know what's on our computers and what not to do(open e-mail attachments, click on links in e-mails etc.).
We also have our security settings tighter, run A/V and antispyware scans regularly and make sure that we have all updates and patches. But, for the average user, outbound protection is a must as most don't know(or care) what they download or install on their systems.
My step children are a perfect example of this, I'm always getting calls like," I downloaded a new screensaver and now my computer is acting up".