Hi Joel

Windows Firewall in Vista is certainly an improvement on XP.
It really depends on how you view the importance of security online.
Sone say that you are better with a third party firewall as well as Windows Firewall assuming there is not a conflict problem between them.
Then it depends if you are prepared to pay for additional protection or use a free one such as Zone Alarm.
If you are willing to pay for extra protection you can get a Anti-virus, Firewall, Anti-Spyware etc, as one complete security package. Prices vary from £20 to £40 pounds approx.
Do a bit of research first and decide what you feel comfortable with.