Using the approach of defense in depth then yes, you should certainly have your software firewalls running on your systems behind your router/firewall. In a corporate setting its probably best to keep it to the servers you deem critical, for a home environmnet using a linksys router or something then absolutely.

One thing you may want to read up on is deperimeterization, which is all about protecting the data more then worrying about borders, so in that model your personal firewalls become even more important then the border firewall. In fact the model (which continues to develop) assumes that evil stuff will get through your border and therefore that perhaps the border doesn`t really serve that much use....an interesting idea, but we are a little way from having the technology to ultimately support it.