windows - Do I really need a firewall?

I've been using the Nod32 security suite for some time now, and out of all the others that I've tried, it's great (low memory footprint, fast, fairly cheap). However, I've been installing a lot of software lately, and the thing that's been annoying me is having to allow each program access to the internet. Yes, I know it's a one-time thing, but I would rather not even have to do it in the first place. (It's also a pain when I have to reformat/reinstall.) Thus, I am considering removing the firewall entirely, and just sticking to the antivirus.¹

So my question is: Is not having a firewall unsafe, even with an antivirus? Obviously I'll never be 100% safe (not even an antivirus can completely protect me, and I realize that), but I don't do stupid things, I back up my data, etc. Does not having a firewall open up any dangerous vulnerabilities that an antivirus cannot cover? If I somehow get some malware on my hard drive, will not having a firewall keep me from being able to remove it? Or will it, for the most part, not make a difference? And if I do need a firewall, is the one that comes with Windows sufficient?

Note that I'm not really interested in those 0.1% corner cases, I'm talking about the general majority of malware, and what implications not having a firewall may pose for me. Oh, and I'm using Windows, obviously. :)

^{1. I am definitely going to keep the antivirus just in case, mostly as a last resort. Please don't tell me that I don't need one.}

Answer

Let's think outside the box for a moment.

Sure, you can give in to the culture of fear and install all sorts of software on your computer to create an illusion of security. The IT security industry loves that, that's actually how their protection racket works ... or you can play it really safe by sticking to a simple set of rules:

1. 
   

   do not keep personal and/or sensitive data on a computer connected to the Internet. Use encrypted external storage (Pen Drive, SDHC card, USB hard drive, etc.) where applicable.

   
   


2. 
   

   if you have a home network to protect, use a virtual private network (VPN) connection as an additional layer of security.

   
   


3. 
   

   use virtualization for ALL your Internet activities, "disposable" virtual machines are free (and so is Sandboxie). Destroy the virtual machine (or sandbox) immediately after each online banking session or financial transaction (redeployment of a VHD backup is only a matter of seconds).

   
   

Although this sounds a bit of an inconvenience, you certainly will not have to worry whether (enter the name of your favorite antivirus software, firewall, malware scanner and other popular time and resource wasters here) may have been protecting you sufficently or not. Don't buy into their promises, think and take matters in your own hands.