ZA, unlike Win XP's ICF, provides outbound monitoring and app control. So unauthorized apps (like Trojans picked up in downloaded files) could be caught trying to access the internet. I've seen cases where an AV misses a trojan and only ZA (or other software firewall with outbound monitoring) brought the trojan to the user's attention when a pop up informed the user that a new app was trying to get net access.
So if the hardware firewall is a NAT router with firewalling capabilities, I would still recommend a software firewall since most so called hardware firewalls (especially if it's really a router) have no outbound screening capabilities. Additionally, during the recent msblaster outbreak some people who thought they were safe because they used a NAT router weren't because they hadn't properly configured it.
Of course, what you should use depends on your internet practices and how concerned you are about layering your security or how technically on top of things you are about security issues and what manner of defenses you can use as well as what safe practices you follow. I ran for 6 months just using ICF without problems. But my internet activities are not particularly adventurous compared to some. Others who do P2P and IRC which is a good source of malware should have a good AV, a dedicated Anti Trojan app and a software firewall with outbound monitoring IMO. YMMV
RE: PC Cillin: Over at Broadband Reports, there aren't many comments about its firewall but those that are there are not complimentary. This thread is announcing a new beta edition of their package but references are made to the current editions firewall as well http://www.dslreports.com/forum/remark,7797738~root=security,1~mode=flat