Hogging of bandwidth by someone else would slow things down with unencrypted wireless, basically it depends where you are as to whether it's likely - if you are isolated or have a bit of space around you, no problem. You can immediately tell if that is happening anyway by checking the activity light on the router if you are not using it.
As for RIAA threats, that is a one in a million chance, certainly less than being burgled and all you do is grovel and pay a couple of grand. Also an open wireless would be a defence if you use limewire or bittorrent as you can always say someone else was using the wireless.
Lastly, ordinary users should not use one of those firewalls. The router itself is a double hardware firewall so nothing else is needed, plus you have the built in windows firewall anyway. The greater risk to an ordinary user is a wrong setting on the firewall with an obscure program name blocked miles down the menus, causing an essential program not to work. You only need outgoing firewall protection if you have a problem on the inside - get Antivir.
If you are a highly targeted company that is another matter, but I have lost count of the number of home callouts I have been to where Norton, Macafee or Zonealarm is the major culprit or else compounds another problem.
All you need is the free Avira Antivir, weekly Spybot Search and Destroy (1.4 is best) scans and the Windows/Router firewalls. Here's a link to my more detailed post/s:
http://elitetrader.com/vb/showthread.php?s=&threadid=90568&perpage=6&pagenumber=5
You can't believe everything you read in those computer magazines or hear from store salesmen - there is a very strong conflict of interest as they get a cut on the Norton/Macafee/xxx advertising and/or annual commission. They also have a vested interest in exagerating slight threats to scare you into some extra 'protection' subscription treadmill.
My point is the same as why most of us do not have bars on our windows and a solid steel front door - inconvenient measures need to be in proportion to the likelihood of risk.