I just switched from a dialup to broadband. The router (Netgear wgr614) has a built in firewall. Is there any benefit to running a software firewall such as the one that comes with Norton AV, or Windows' built in firewall? The only thing I can think of is it's an added level of security if someone manages to hack in wireless authentication, but I have the router set up with MAC access control to only allow access by my own laptop's wifi card.
By far, the biggest threats will be from the Internet. The MAC address filtering will be adequate to secure your LAN, but remember that packets between the router and your card will be "sniffable" and readable without encryption being applied (WEP). My view is that WEP is mostly overkill - and unless your LAN is in a very public area or uses antennas to increase range, MAC filtering is fine.
I would always advocate the use of PF's within a LAN (even behind a good firewall - like IPCOP). Your firewall is mostly designed to block network level comms - and will do little to stop malicious web or email traffic (even though the WGR614 has some content filtering capabilities). I prefer ZoneAlarm (versions are available with integrated AntiVirus). If you retrieve email using POP3, then Mailwasher is useful because it allows mail to be examined and "dealt with" BEFORE it gets to your PC.
In general, the further away from your PC threats can be dealt with, the better. Once malicious code gets to your PC (especially if runs Windoze) it has a much higher probability of doing real damage.