Do I need firewall in this setup?

Your router will be acting as a NAT gateway, which means that nothing can come in unless your specifically allow it, so in this respect, you don't need a firewall. However, as mentioned, it's worth protecting the machines from each other. Personally, I like Comodo, but it's down to personal taste.

"I use a software firewall for outbound protection. I want to know when an application (malicious or not) is trying to call home or has some other reason to access my Internet connection.

I continue to use Zone Alarm Free for that reason alone. It notifies me when an application is trying to access the Internet. Then I can select whether to allow or disallow that access. I can also tell Zone Alarm whether to warn me each time that application tries to access the Internet to just to always block/allow access for that application each time."