Always use protection. When surfing the Internet, that's doubly true. That's why I use PeerGuardian - an open source IP blocking tool that sits quietly in the system tray and works its magic.
This tool prevents incoming and outgoing connections to and from IP addresses on its black list, rendering your computer invisible, thus protecting your computer from the "bad guys". Who are the "bad guys"? That's for you to decide; by picking the appropriate categories in the list manager (http://iblocklist.com/lists.php): Government, Anti-piracy, Spyware, Advertisements - you name it.
Once you set it up with your chosen lists, these lists can get automatically updated, so you might as well forget about it.
Don't leave home without it!