I have a great little hardware firewall made by a company called Yoggie. It's a small USB device that is a self contained computer with it's own processor and Linux OS. When I was at SMX Advanced in Seattle I was amazed at how many attempts were made to access my computer while sitting in a session. There were over 400 attempts recorded within the first few minutes of turning it on.
As you mentioned later in your post, a firewall offers no protection whatsoever from WiFi snoopers. A snooper doesn't even need to connect to your computer to read your packets. The "attempts" you saw were probably just automated port scans and traffic from network worms. You'd get those on a wired network as well, it has nothing to do with WiFi protection.
[edited by: mrMister at 10:47 am (utc) on Aug. 11, 2008]