vansmith.I was a very disappointed owner of a dell computer.I just switched to mac 3 months ago.I am loving it.I guess my paranoia from my windows days are following me around!:
It's good to be a little paranoid.
In my opinion, an outbound firewall isn't necessary, unless you're really concerned that a piece of software you're running is trying to "phone home" unbeknownst to you. For the most part, this won't be of concern to the average user.
As far as the software firewall built into your Mac goes - it's turned off by default. OS X doesn't respond on any well known port even with the firewall turned off. If you're not leaving your home network with the machine, you can safely leave it off (in most cases). Most modern broadband modems use NAT, which is a form of a hardware firewall. That makes devices connected to it pretty much invisible from would-be attackers.
If you're using a wireless router, you definitely have a hardware firewall using NAT. Assuming you have good, strong security turned on (WPA2/AES), you're reasonably safe yet again.
Now, if you travel with the machine to foreign networks, or if you are using weak encryption on your wireless network, you definitely want the software firewall turned on AND in stealth mode.