Why a firewall? some functionality like preventing threats from remote login, blocking intruders from trying to access your computer, preventing installed programs like MS Word from making backdoor to your system, etc can only be provide with a firewall.

Moreover, a good software firewall has an important role to play in some particular cases such as when you planning to host a blog / website, connecting to a home or local network or playing games online, etc to protect against intrusion before they try to enter your computer.