one of these days I'll set up my old computer running Linux as a firewall. I'm too lazy right now and the SMC Barricade seems to be doing a good job.
The benefit of a software firewall in theory is for times like when you travel and use your laptop on a network that is not your own.
I have never had any serious trouble with Sygate's Syshield product. My kids use it on their computers too. I used it for years without anything but an occasional problem that was resolved by shutting it down and starting it up again.
I think there is malware that can monkey with certain software firewalls anyway.