The SP2 firewall is great, but having just one line of defence is never a good idea. Plus, unless you really know a lot about how firewalls work, many of the advanced features of the SP2 firewall can be a bit tricky to get under control.
You're best off having at least a 3rd party product running (like ZoneAlarm), and definately don't forget your anti-virus and spyware software, too. Firewalls don't protect you from everything.
And as a last note, if you do use the SP2 firewall (which I do recommend) I would highly suggest you read the basic documentation about it, as it's full of neat stuff you should know. Just like any firewall, you should know how to use it.