While this doesn't interfear with most programs, it can still cause a mess with some. Users of AIM and ICQ are probably the most common sources of firewall programs. When trying to connect directly to anyone else, both machines must have the proper open ports. If you tried to connect to another machine behind a firewall that didn't allow these ports, ICQ and AIM will refuse the connection. The latter two of these allow the users to change the local port, so it's all good.
Firewalls also hamper online gaming.
While 9 out of 10 games will run just fine through firewalls, some simply do not. They are programmed in such a way that when they run into a closed port, they simply give up and tell you that you can't connect, instead of trying another, potentially open port. All in all firewalls are a good idea, and Radford's is less restrictive than most other universities. If you ever set up a home network with 3 or more computers, it is actually a good idea to setup a firewall, to stop younger siblings and inexperienced parents from getting into trouble. If, on the other hand, you are just running one computer connected to the internet, stay away from firewalls.