I think the analogy of having a security system fits well here. Ports are synonymous to doors. Just because a door is locked doesn't mean the bad guy can't get in. But having a security system (firewall) really makes it even harder for the bad guy to achieve his/her objective.

If you have never been compromised, then you will never understand the feeling of being violated. Firewalls are a must, especially if you are using MS products.