Agree with cod3x. Routers are good for blocking unwanted incoming traffic, but most of them don't question connections that are initiated by your internal machines. Software firewalls can be configured to monitor, audit and block both incoming and outgoing connections from the workstation.
There are two concerns here. First, if one of your workstations picks up a virus, then having a firewall on each computer may help prevent it spreading to your entire network. Second, there is always the possibility that one of your machines will pick up a trojan. Some trojans then initiate a connection to external sites and download backdoor trojans, or they initiate a connection with the person trying to hack your system. Since the connection was initiated internally, your router isn't going to block it.
A good firewall would notice the connection attempt (either because it would be a new program asking for permission to connect or because the firewall would note that the program had been altered). Before allowing the connection, it would ask the user if it should be allowed to proceed. It would also log the event - so even if the user said yes, you could at least figure out later what happened.
(There are probably routers out there that can be configured to do the same thing as a firewall - but software could be a cheaper solution. High end routers get pretty expensive.)