You are pretty much guaranteed to have some software running on your MAC that can be hacked by tools coming in over the internet. There are tools out there for the script kiddies and crackers to use that let them scan pretty much all the systems in the world, repeatedly every day, looking for any system that is exposing a known weakness.
Windows, MAC, Linux, Unix you name it -- they all have at least some vulnerabilities that can be automatically exploited over the web, turning your system into a robot under the control of the bad guys.
At least, load a software firewall, such as discussed on SecureMac.com: Mac OS X Firewall Security. This software will essentially make it easy for you to administer your system so as to reduce the number of vulnerabilities, and improve the chances of detecting when you've been hacked anyway.
If you have a system that is up several hours or more a day on a broadband connection, I'd recommend a hardware firewall, such as (picking one choice of many): D-Link DI-604 Express EtherNetworkTM Cable/DSL Router, for under $50.
Granted, Windows boxes are probably harder to secure, and more inviting to email viruses. However most any box that is exposed can be cracked, and if it can be, in any automated fashion, it will be, repeatedly.
This is not like the real world, where people living out in the country don't need door locks. Here, we all live next door to everyone, including some very bright, not very scrupulous, young kids on the other side of the planet with way too much time on their hands.