There are two types of firewalls: hardware and software. A hardware firewall is an electronic blocking mechanism (separate from your computer) that will not allow unauthorized intruders access to your computer. A software firewall is very similar except that it is installed on top of your operating system and is therefore somewhat less secure than a hardware firewall.
A hardware firewall/router for your broadband connection is an absolute necessity if you want your computer to be secure. These firewalls can either be “wired” or wireless. I would recommend buying Apple Airport Extreme / Express, NetGear, or LinkSys brand firewalls, but just about any router will work for most users needs. One of my favorites in fact is Belkin. They have a router (F5D7230-4) that is absolutely fantastic, but only costs $39.99.
If you are planning to get a wireless router, make sure that you buy one that supports WPA or WPA2 encryption. It is also sometimes referred to as WiFi Protected Access. Most new routers these days support it, but it is good to make sure nonetheless. Another good recommendation when purchasing a wireless router is to ignore the “speed boost” and “super G” routers. They only give you a speed boost if you purchase a corresponding wireless card.
You could also consider an 802.11n router, but again, that only makes sense if your computer supports it. The range and speed are better, but it is not standard yet and some wireless cards will not “play nice” with wireless routers from other manufacturers. Since it is most likely that your computer came with wireless built in that does not support either of those standards, you could just end up paying more for technology that you cannot even use.