Two are better than one, and one is better than none.
I'm running a D-Link DGL-4300 Gaming Router, which has built-in firewall capabilities, but also running the standard XP SP2 firewall (I have ActiveArmor, but while it works nice, I was concerned it was interfering with network throughput, so I ditched it...maybe I'll go back to it at some point).
Same with our organization --we may have a Cisco PIX firewall, but at work I can't always prevent someone from bringing in a worm-infested laptop from home and plugging it in inside, thereby negating the firewall. So this year, client workstations have the XPSP2 firewall on, with some customized settings to allow for programs we need. It greatly cuts down on the spread of worms.
Intel Q9450 @3.2GHz, Gigabyte GA EP45-UD3P, 4 x 2GB G.Skill @4-4-4-12
Antec P160SW case (modded), Xigmatek 750w PSU
3x 500GB (RAID-5), , OptiArc 7200S, ASUS E818A3T
Creative X-Fi XtremeGamer, Hauppauge HVR-1800, Radeon 4890