Yes, you will need a firewall for Linux. Linux is not foolproof to someone wanting to snoop around your network or PC. Anti-virus, no. Firewall, most definitely.
Guarddog Firewall
They have a FC 3 version up but I'd imagine it would work just fine with FC 4 as well. If you don't want to use a graphical firewall then I suggest learning and reading about how to use IP Tables. Ive used Guarddog with Mandrake and it passed all of GRC's Shields Up Test with flying colors.