It's prudent to turn on the software firewall if you:
a. Are bizarrely using a setup with no hardware firewall (like, say, dial-up).
b. Are on a public network you know does not have a firewall (very, very, very rare these days)
Also, I didn't say the firewall "must" be off. I said it is off by default, and that this is the default because 99 percent of the time you (or anyone in the first world) is on the Internet you are behind a hardware firewall already, making the software one redundant (and potentially causing conflicts if both are used).
Here is what the firewall control looks like in Snow Leopard:
If yours doesn't look like that, it is likely because of one of these two reasons:
1. Your system is damaged
2. You have installed some kind of "security" software that is disabling the OS X firewall.