It's not so crazy. My box at school is behind 3 firewalls. I have a personal firewall, then the firewall on the router in my room that my computer and my roomates' computers connect to, and then the firewall for the school LAN on the server that everyone on the school network has to go through to access the 'net. Most people I know would still say that one properly configured firewall is better than a dozen that are mis-configured or left wide open.

Sounds like you have a different setup though... Let us all know what you find with your experiments.