I turned it off in Vista. In W7 I set it to the lowest setting before OFF. It is less obtrusive but still causes a small annoyance for me.
I love to play around with the icons for my dock program and they are stored in the C:/Program Files directory. When I save new icons or modify and save existing icons I have to jump through a couple hoops.
I feel safe without it because I use Kaspersky Internet Security. With KIS I pass the firewall leak test and my IP is invisible on the net according to several test found here:
https://www.grc.com/x/ne.dll?bh0bkyd2
To be honest I would just turn it off again but when it is off it appears to cause W7 to not remember my network credentials when I reboot and W7 does not reconnect to my network drives. I have reported this as a bug.