Apart from understanding the functioning of Firewalls, it is also very important to discern their limitations and to extend them if necessary. The Firewall does not protect against malicious contents coming through the permitted ways into your local network. It is true that certain effects of some viruses and worms are stopped, because communication is blocked via the required ports, but no Firewall alone is a comprehensive protection against viruses.
Also monitoring of sensitive data in the Internet is not be prevented by a Firewall. If data once reaches the unsecured net beyond the Firewall, then it is exposed to well-known dangers. Despite using a Firewall, any confidential information such as contracts, passwords, development information etc. should be transmitted only over protected connections, i.e. by using suitable data encryption and VPN connections.