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Zonealarm, port sentry, etc etc... tried it, been there.. done that.. lost a lot of processing time and bandwidth. Of course, once again this comes down to personal opinion and how good an admin is with their system. If you know anyway I can not sarafice so much bandwidth, then I will more than happily take on your point of "it can't hurt". And thanks for adding so much to this conversation, as it has made me recheck my own policies of using the computer as well as become enlightened to a few things I never thought of.
Actually, it comes down to how you setup your network. You are basing your judgements solely on host based firewalls (and free ones at that). You might want to look at having another computer offer firewall services (an old, cheap Pentium to offer iptables or the BSD firewall -- whose name escapes me) or invest in a simple hardware router/firewall. You'll see almost no degradation in speed.