A basic router is in no way providing a firewall. And routers come in two flavours: with and without NAT. Those with NAT are usually just masking the LAN from the WWW which is no substirute for a proper firewall which is capable of so much more. Having said that, then NAT is actually a good basic defense against most attacks !IF! you don't have any servers on the LAN that need to poke a hole through the NAT. But eg a Cisco 677 has some basic ip, port and protocol filtering so in some cases a router and a firewall go together.
And please obeserve, that there's a !HUGE! difference in having a broadband modem and a broadband router. The broadband modem will give you a global IP-number meaning you can be scanned from the internet, while a broadband router isolates you from the internet through a NAT table.
The problem with the settings you can specify in the 'Firewall' tab in the 'Sharing' prefPane is that it's only an ingress firewall. For filtering outgoing connections (eg programs "calling home") you'll have to turn to eg LittleSnitch.