IMO, you need it now more then ever. You are basically in a constant on-line state. Also now not only do you receive page loads and downloads faster, you are also open to malware faster. Your DSL modem may have some FW qualities but they are generally limited and poor at best.
Yes, and with an "always on" connection a software firewall is even more important - your system will be accessible for longer periods of time, it will probably keep the same IP address during that time (dialup users normally receive a different one each time they connect) and the faster connection makes your system more attractive to hijackers (it can sent out more spam, attack websites more effectively, etc). You may be using a DSL router which contains its own (firmware) firewall - this can provide good incoming protection, but is still best complemented with a software firewall.