What's Point Of Firewalls?

I was just reading an old CNet subscriber letter about using wireless internet in hotels. Lots of people were talking about different ways to prevent your data being stolen, including an "evil twin". Well, a few people mentioned using firewalls. I used to use one a while ago (ZoneAlarm) and liked the way it worked, however, here's my question, how exactly does it protect the data that you SEND.I can understand that it would be protecting your computer from people who try to get onto your own computer, but I thought of it as somewhat like a brick wall, keeping those that you wanted out of your computer on the other side of the brick wall.Do firewalls protect the data that you send also? I was thinking of it being like (another goofy analogy, haha) lining a garden hose with steel tubing, so that way no one can come over and puncture the hose and steal your water from the hole. Can firewalls protect outgoing data, and not just incoming data and protect against incoming threats and attacks on your computer?