Isn't this kind of like saying I shouldn't bother locking my car because people can still see what's inside and just break the window to get at it?

I firmly believe that a false sense of security is worse than no security at all, but a properly configured firewall keeps out the bulk of "punks" trying to find a way into your computer.

If you want to take it a step further and keep a little anonymity, try Norton personal firewall. While it does have a certain amount of idiot-proofing built in, it's pretty flexible and allows for quite a bit of customization. What makes it nice is that it has some things built in that help keep an eye on privacy. I'm not sure what anyone else thinks of it, but I think it's a quality product.