I have a switch/router with one build in. And I also have a Sygate firewall on my PC The one on my PC is crucial to stopping applications from talking to who knows who online. For example, microsoft products always try dialing out. I have everything blocked from using the internet, but my browser. It's all automatically set to ask, but you can block them or allow them also. Not only is this talking suspect, but it causes unwanted traffic and slows the internet down.
I highly recommend a hardware firewall build into a switch/router and a software one on top of it to know what's going on.