I just googled "should I use a firewall on a mac" and it seems that one likely should be using a firewall on a Mac too:
www.oreillynet.com/pub/a/mac/2005/03/15/firewall.html
Don't Play with Fire
The firewall that comes with the Mac is a good and robust tool and will protect you from many things, and you should have it turned on all the time. Just because we can handcraft rules does not mean that we should. If we get it wrong, we could stop our computer from functioning and create security holes. In this article, we're going to play with the firewall, learn a few things about our Mac, and then just let the System Preferences take care of things (in most cases).