You too can pass yourself off as an instant firewall expert!
Well, something like that.
Seeing as firewalls are the latest hot topic on the forum, those of you who don't already know might like to subscribe to the newsgroup comp.security.firewalls
It covers lots of the stuff you're asking (such as "Should I be worried by all of these access attempts I'm getting?") and you can always post a question yourself if you don't see what you're after.
It's also a good place to get an idea of what's hot (ZoneAlarm) and what's not (Lockdown).
Personally I think that everyone is getting a little hot under the collar about access attempts. I suggest you download a decent firewall, switch off access attempt notification and just get on with enjoying surfing. Besides, it isn't blocked access attempts which are reported that should worry you, it's successful accesses that are NOT!
What you might be interested in is that the latest beta of ZoneAlarm has an access attempt logging feature that is lacking in the current version. It lets you keep tabs on what is going on without the alert window popping up every few minutes!