Breaking into someone elses system even just to see if you can, is bad in my book. If it's you own system or companies system, then sure it's good to test your own security.
If you are talking about good and bad as in if it existed at all, it's bad. Think where we would be technologically if security wasn't an issue... ever. All the time spent securing websites, software, and even games from cheaters. I've often wondered how long it takes game developers to simply make their code less likely to be easy to cheat.
For comparison take the time inbetween when Half-Life 2 was suppose to be released and then when their source code was released to the net, so they had to (from what I hear) nearly completely rewrite the base code so that people didn't know how to cheat. You can also look at their security of Valves network for an example too. If we all didn't have to worry about security and nobody tried to break into things that weren't there's it would be a much better place.
Back more on topic, if you had no firewall installed whether software or hardware, I'd say it's a little your fault. From what I hear even the software firewall that comes with the latest versions of Windows XP, it's not all that secure if the hacker/cracker knows what they're doing.
Both at home and at work we have a server setup that acts as a firewall to protect our data. We have more to lose than downloaded music and movies though.
On the same note, what if your hard drive crashed? You'd be in the same boat at you were in and would have had to start over also. Backup your stuff whenever possible. I have backups of all the web stuff we work on that's in the works at our location. My main C drive however I don't have a backup of. It doesn't house any important CTEN info, but it's a 750GB drive and backing up the data that I store on it (downloaded TV shows and movies) is always hard. A lot of it I don't want or have time to burn to DVDs. I normally wait on TV shows until the series ends or is canceled and then I burn them all together. Movies, I just never get around to it. I guess I could go and buy another 750GB drive, but if it was all lost it wouldn't be a huge lost and surely nothing super important would be lost.
Basically, you should make sure anything that is important enough not to lose, you have a backup of it. The best solution I've found is an external hard drive casing that connects through USB. You can easily backup what you want saved and then turn it off.
Raid mirroring is more automatic and backs up everything on the drive that it's mirroring, but if somebody hacks into your system, you have to remember they have access to that mirror as well and could clear it too.
As long as they don't hack in while your external hard drive is turned on and backing up, they can't hack your backup at all because the hard drive inside the enclosure isn't powered. This is what I use to backup and as my main CTEN drive as the data as to be with me whether I'm at home or at work.
Having a good firewall and a backup in todays unsecure world really is the way to go, unless you don't mind losing what you have on your computer.
Hope this has helped in some way. BTW I use a Metal Gear Box enclosure if you wanted to know: http://www.google.com/search?hl=en&...G=Google+Search
Pretty cheap backup, especially the way hard drive prices are falling. Good luck.