Software firewalls vs hardware firewalls.
While we're on the subject of being "lulled into a falso sense of security", just remember that a software-based Firewall solution (such as Zone Alarm) is not nearly as secure as a standalone, hardware based firewall router running NAT (I personally recommend NetGear's unit). Sure, a software firewall is better than nothing, but remember that the hacker is already inside the front lobby of your computer when they start hitting that software-based firewall...
You can make your own choice, just trying to make sure that it's an educated one.