Firewalls are very efficient in routers for example to manage traffic between a LAN/WAN and they are also quite efficient at preventing your staff from using file-sharing apps ;-).

Personal firewalls usually don't protect you against anything except for trojans maybe (who can't phone home while the firewall is running, - but there are trojans which can identify and disable your virus scanner and your personal firewall).

I forgot to mention, personal firewalls may also protect you against Windows RPC/IIS/Exchange bugs - but so does installing the security fixes Microsoft provides.