The OS X firewall is turned off by default simply because most people don't need it, but like a lot of other things in OS X you don't use, it's there if you DO need it.
These days, MOST people have a router or modem from their high-speed internet provider that already sports a hardware (vastly superior) firewall that is already on an in use by default. Thus, the software one would be redundant can could cause all kinds of difficult-to-pin-down errors and blocks if also used.
That said, there are times when you may want a firewall on, such as when using a public unencrypted network. I personally haven't seen the need, since the main thing a firewall protects you from is a DDOS attack and I've not yet encountered such a thing in public places, but every situation is different.
Firewalls do not offer any protection from viruses, malware, phishing scams et al, nor do they encrypt your transmissions on a wireless network, so to me they are of extremely limited use apart from prevention of DDOS attacks.
Bottom line: a normal user would have little need of the software firewall OR Little Snitch, but there are certain circumstances where both can be useful.