1. Not everyone has the luxury of a hardware firewall. I know of a particular college student who, not only probably could not afford one, but also isn't allowed anything between the wall and his computer except an ethernet cable.
2. It's nice to know what is trying to use the Internet when it's trying to do it. Furthurmore, it's nice to let some programs use the Internet and restrict others, even though they may be using the same ports.
3. More protection is better than less.