You should have a firewall active for any computer that is attached to the Internet. OS X has a built-in firewall that should be enabled by default. You can view/modify your firewall settings by going to the Sharing control panel in System Preferences.
If, like us, you are plugged into a router, you don't need a firewall. All
the outside world sees is the router, and that's useless for nefarious
purposes.