Firewall
Its a big bad world out there on the internet. While you are connected to the internet, it is connected to your PC. Any cracker in the world can attack your PC. Read this report from CERT.
Cracking into home computers is now big business for international criminal gangs. A firewall provides basic protection for you.
Just because you're not paranoid, doesn't mean they aren't after you.
Why
Your PC can have over 60,000 ports open, and a cracker just needs to find one to get in. If a cracker does get in, they can cause trouble for you in many different ways.
One approach is to get your log on name and password, which the cracker can use to gain internet access at your expense and under your name. Another route is for the cracker to get credit card details from your PC, which they use to make purchases. You might not know until they show up on your next bill.
Read more about PC security.
What
A firewall is a programme that filters all traffic between your PC and the internet. It uses a table showing which traffic is allowed, and it stops the rest. Unix operating systems (Linux, Mac OSX, BSD) have a firewall built in, and more recent versions of Windows (Vista, XP SP2) come with firewall software. Here is a list of firewall software.
Check it out
When you have installed your firewall, check it is working ok with the Shields Up port tester at Gibson Research.
If you don't have a firewall, you should definitely go there to learn how exposed your PC is!