There are real reasons to use a firewall. Filtering Traffic! let's say your running a service on your gateway (as an example) - you only want to provide access to the service from inside your LAN, no access from the Internet. This is obviously going to need to be filtered via your firewall.
A firewall is also great for keeping a log of what types of packets are hitting your machine be it normal packets or specially crafted packets to cause problems. If your gateway is not secure than you can assume that the rest of your network isn't either :p.