Yes even you are safe with your hardware router/firewall, it is always good to have some software one installed just in case... plus as others already mentioned, outbound protection is not covered with your hardware one, well at least in most cases (some hardware firewalls provide outbound protection too).
That's why I've been searching for some good, most important - light on system resources outbound protection to install it instead of some bulky all-in-one firewall, "Jack of all trades - master of none". My hardware firewall and this software one would be quite good buddies, and I'm pretty sure system wouldn't be so tied up with bunch of heavy security applications running in the background all the time.