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Honestly, as much as I'm a fan of isolating the firewall from the system being protected, hardware firewalls don't give you any big "extra" measure of security. Hardware firewalls are still vulnerable to exploit - flaws in the way they analyze packets, etc.
If you have the money to spend, and especially if you're protecting more than one computer, it's nice - but it's not a necessity if you only have a single computer.
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