It's a clever idea, and it provides extra security to boot. Many broadband providers will connect your devices together using bridging techniques, which are insecure and expose every system on your home LAN, as well as much of your LAN traffic, to the Internet. Beyond the Internet sharing software packages such as WinProxy and WinGate, there are inexpensive personal firewalls for individual users that can run on your main machine if you so desire. Most firewall appliances, and many software based firewalls, variously offer IP address management, NAT, DHCP, logging and reporting, and even IP prioritization function. Most firewalls come with support for at least three users, although a single user can also take advantage of multi-user firewalls.
Firewalls are far from a commodity item.
Be careful and compare data sheets and feature lists before you buy. The ISP's firewall can act as a proxy server, just as a personal firewall can. Broadband ISPs have not publicized such proxy services, but it's worth asking yours about it, posting to its help newsgroups, and so on. Firewalls, while they will put something of a damper on performance and could effectively become bottlenecks, can improve your security exponentially. As with all security technologies, it's up to you whether you want to sacrifice speed and extra cash for peace of mind.