to keep unwanted traffic from your computer. it is advisable to have one.
i have some 10-20 pages of log/day from things atempting my computer,
ok mostly calls to known trojans... and ofcource atempts to use known vounerabilities in misc software Outlook... and |gasp| yes even linux software, an previous version of cgiemail to name one.
i regularly upgrade and patch my computer and have minimum of installed software (Debian and slackware, none above ~400Mb installed).
as number of posible security holes increase with number of programs... i keep them to minimum and have a well patched kernel with a good iptables script and two firewals beween me and the net. one linux router/firewall and one D-link (for the w-lan).

http://ww.debian.org/security/ for more on linux security (Knoppix is basicly Debian so...)