Whether or not to keep a commercial firewall is pretty much a personal preference in my opinion. With the laptop I'm on now, it's being protected by that same router as well as the standard Windows firewall and it's been running pretty well for years.
I'd like to clarify something about the linksys router and the WEP encryption and MAC filtering. The WEP encryption, and you should try and configure WPA or WPA2 because even the 128 bit WEP is pretty weak, is protecting your home lan from other wireless computers from connecting to your lan and accessing your computers or the Internet. Same goes for the MAC filtering, and you should enable this also because it keeps the kiddies from wardriving and connecting to your wireless lan unless their MAC address is listed on your router.
Now, these things help protect your lan from outside wireless connections. The SPI firewall is nice because the router actually inspects each packet as it's coming in from the Internet and making sure that it's actually been requested by a machine on your lan. That's a gross oversimplification but basically, the SPI Firewall keeps track off all the open ports and addresses and tries to make sure that incoming packets are going where they are supposed to be going. FTP is a file transfer protocol for example and if a packets comes in from the Internet that is requesting data be put onto computer inside your home lan on the data port that the FTP protocol uses, if the SPI firewall doesn't dectect any active FTP transfers going on, it drops the packets...hence you are protected.
Now, this does help protect your home LAN but you really should still keep a firewall running. What the SPI can't do is for example, block all traffic on all of the FTP ports. You know you won't be using FTP at all, and you want to keep all FTP traffic out, you need a firewall on your PC to do this. Your Linksys WRT54G won't do this. See what I mean..?
IMO, the issue is whether you need something like ZoneAlarm, or if the Windows firewall is enough. That unfortunately is personal preference to me. Keep this in mind though, initially ZoneAlarm will bother you with tons of pop ups asking to let this or that through, but once it's setup for your applications, it should be able to handle itself for a while. At least until something sneaks onto your PC and tries to connect to the Internet but those pop ups you WANT to see....
Hope this helps....Good Luck