Age, let me tell you, I play Warhammer, and World of Warcraft. I play with no firewalls, I play in the DMZ of my router because Civilization IV won't connect to certain people if I don't. Because I play Civilization IV all the time, I am ALWAYS in the DMZ. Not once have I had even an attempt of an attack. I keep my Anti Virus up to date, and I have a Spyware scanner that I run every day as well.
Even if you have a firewall, you can still get into trouble if you're not careful where you go on the internet. In fact, more times than not, having that firewall makes you think that you're invincible and can go anywhere, then you wind up getting an infection. Because after all is said and done, a Firewall is just that, a wall. People and things can go around it, over it or under it. Does it help? Sure. But if some one really wants in, do you think that firewall is going to stop it? Not likely.
Case in point, my brother and step brother shared a computer and played WoW. It was behind a firewall, in fact it was behind TWO firewalls, software and router. My step-brother decided that he couldn't make money fast enough and logged on to a gold farming site. Despite the fact that my brother didn't do anything, those gold farmers got his account information as well. My brother got a new computer, but doesn't want to got through the hassle that Activision is making him go through to get his account back (they closed it because of the breach).
And yes I said Activision, they bought out Blizzard last year...