What's your internet connection? Dial-up, broadband, or something else?
My suggestion... a simple Linksys gateway/router will do the trick. Set it up between your computer and your modem, activate NAT, and you cover almost everything coming in from outside. And if you're gaming on-line, you can open up a hole for your gaming connection.
You still need a software firewall to cover things from the inside trying to get out. Hardware firewalls won't do that... they just stop it from getting in. I also wouldn't go with just a software firewall, either. Having a hardware firewall adds one more layer, making it harder for the average person to get in to your system.
My Linksys wireless router (
WRT54G) serves as wireless access point, DHCP server, firewall, and probably a couple more things. I haven't had to touch it in a while, so I don't pay as much attention to it. Lots of protection without realizing that it's there, and inexpensive as well... looks like $45 on-line.