Dependsa how anal/manual you want to get with your security ... if you push it, you can get a firewall to do the job for you via whitelisting but for 99% of the population that requires too much setting up.
As Encore4More said, I suggest PeerGuardian. It's a great firewall, it lets all my Torrents through, and it blocks all known Government, Spyware, Ads, etc IP's. It does get a little annoying....it does tend to block website like Apple.com, Dell.com, etc, but it also blocks the bad ones (It's logged St. Petersburg Police Department, as well as a few other strange ones). To get it, go to http://phoenixlabs.org/. BTW: it's freeware.
hey can u use the PeerGaurdian thing if u already have a firewall?...cuz i heard u are only supposed to have 1 firewall at a time...but i dont know if this is different...