Every major company that I worked for as a network professional checked for outbound traffic. These companies, but also millions of users, want to know whether their OS or applications are hiding that they're actually connecting with the outside world. Virus scanners or anti-spyware don't stop an OS for example from making outbound connections.
Everybody who wants to be well protected and who is concerned about privacy needs application level protection. Having a software firewall is also an extra level of defense and in almost all cases they also offer different protection techniques that a simple home hardware router doesn't offer. It's also an extra defense against trojans and worms that are not recognised by anti-virus software or treats that are coming from other clients on a local home network.
I sincerely advice people who have one of these inexpensive routers to continue to make use of a software firewall, that is, if you do care about security and privacy. A better solution is however an application level gateway like most businesses prefer, but that's in most cases too expensive or complicated for ordinary users.
But hey, it's all about how precious your data is that you store on your server or computer.
Always remember people, because many have made this mistake so many times;
a) the Windows XP firewall does
not protect against outbound threats!
b) most hardware router firewalls do
not protect against outbound threats!
For those who want to know more, try these sites;
http://www.firewallguide.com/overview.htm http://www.uksecurityonline.com/ 
Using a Home server 
Linear Mode
