OK guys, let's clear up the mysteries:
1. If you are "always on" without a firewall are you at risk?
A) Possibly, Blackhats (aka hackers) will run port scanners against knows subnets (lists of IP addresses) looking for open ports. Finding one they may try and attack. Are you at risk of this? Lets look at the possibilities.
As we all know, Windows has shown some serious vulnerabilities in the past. Blackhats try and take advantage of these. 99% of attacks are perpetrated on "KNOWN" vulnerabilities. Most of these vulnerabilities are known for some time before the attack occurs. One of the most famous was the SQL bug. This was a know vulnerability for 6 months and a patch was out for it before some bad guys took down many high profile systems. How did this happen? Because their IT guys were knuckleheads!
So, you are vulnerable if:
1) You are running an unpatched OS. MS has very little support any more for Win 9x systems so if your using win9x or ME then I would say you are vulnerable to a point, probably a small point though. Check for update regularly, at least once or twice a week.
2) You allow web sites to install unsafe programs. We all know about spyware and spamware. BE SAFE this is how most blackhats get in. If a site offers you something for free, DON"T DO IT!
Case in point: The most recent case of hacking perpetrated on the Lexux/Nexux network was done by a teenager talking sex with an undercover cop. He sent him an infected JPG file (supposedly of a nude young girl he was posing as). The file contained a worm that allowed him to steal passwords off the cops PC. One of these was a username and password for Lexux/Nexus.
3) Keep your virus softaware up to date. Never surf without this active and up to date.
4) If you do not know who sent you the file, DO NOT OPEN IT!
Conclusion:
If you turn off your firewall/virus protection while playing AH I would say you are fairly safe as long as your OS is up to date on all patches. Of course you should turn all of this back on when you are finished playing.
Remember: Hackers/Blackhats are like vampires. They usually can't come in unless you've done something to invite them in.