I learned the hard way that going unprotected on the internet is as stupid as going naked to the supermarket. You'll attract plenty of attention, all of the wrong sort.
In my case my machine was taken over by another modem and used for international calls. I got off lightly with a $600 phone bill. That $600 was racked up in just one week.
I've been using BlackICE from ISS ever since. It's not free, but it's good protection.
http://blackice.iss.net/demo.php