Do I Need Privacy Software?

I am trying to figure out whether or not I really need privacy software. How likely is it that someone will try (and be able) to steal my data through the internet? I hate to spend more money than I need to, but I also want to minimum level of protection necessary to keep me safe. I was reading a Privacy Guardian review and it looked like it might be useful to have something like this, so I am trying to figure out whether or not I really need it. Does anyone have this type of software, and which program do you have?