Gwoodpecker is right. By default OS X does not have any open ports. Someone from the outside will not be able to establish a connection to your box unless you start some of the "Sharing" services.
In the case of you making a request on your machine, and having it be answered (ex. surfing the web), a firewall buys you nothing. It lets the reply traffic through. Think about it, you don't have to open port 80 to surf the web, but you sure do to run a web server.