Snow Leopard has in its Security Panel a Firewall option, which is off by default. That means (according to the help message there) that all incoming connections to the computer are allowed.
Can/should I turn it on? What kind of applications would that break?
Conversely, am I at risk at an Internet cafe when I do not turn the firewall on (assuming that all sharing features are disabled either way)?
Also, what about outgoing connections, can they be filtered, too?