Connecting to the Internet without protection is like playing Russian Roulette where on every spin, you add another bullet to the chamber...
In a study done at some establishment (University/Company/someone - can't remember the details), an experiment was conducted into the volatility of the Internet.
They connected a range of machines to the Internet without any protection. The first compromise happened in around 4 minutes!
[:-]
There are 24x7 Robots trawling the Internet, and people behind them who are prepared to follow up.
Even on a DMZ you should try to have a local firewall running if you can. Anti-virus/Spyware also a must (are you going to do messaging and web browsing while on the DMZ?).
It's shark infested digital waters out there...
It's just the price that we have to pay for sharing cyber-space with vandals and thieves
Indeed!