Well, anything you actually do over the internet can be snooped on. Obviously.
But as said above, the Kindle actually does include a very strict firewall. It is such a Windows mentality to think you'd need a manually-installed firewall.
The only thing you are at risk for, is a malicious individual discovering a remote exploit that can be triggered entirely from the browser.
But don't laugh -- Amazon once included the Native Bridge in the browser, which allowed someone to run a shell command via javascript!
The forum members who were active at the time reported it, got a CVE number and everything, and Amazon had it fixed.
(That one was way too dangerous to keep around as a jailbreak exploit.
)
Also, Branch Delay's jailbreak. Which was likewise reported and fixed before being released as a jailbreak.
It was also slightly harder to trigger.