[AccessD] New Comodo Firewall

I'm about to reveal my colossal ignorance (just in case it was not already
evident), but my question is this: given a router that already has a
firewall in it (such as LinkSys or DLink), what is gained by  adding a
software firewall to the mix? Since I live alone, but have 2 desktops, one
notebook and one server, I want traffic between everything my house to be
open and free. I'm only concerned about externalities, as it were. I don't
want anybody in the outside world to get in (without permission), but within
my tiny world, everything is permitted. So what would a software firewall
bring to the party that I don't already have?

TIA,
Arthur