I think a lot of people don't trust the OS firewall due to many years of using Windows firewall. Windows firewall hasn't always been good, and is confusing still to this day for a lot of users (when I search for Firewall in my Windows 7 start menu, I get no less than 4 different options which all present me with different context menus, etc). Not to mention security product vendors still try to peddle their 3rd party firewall as being superior to the built-in firewall, which is rubbish other than maybe a usability standpoint (you either block something or you don't).

Compounded by the fact that most Windows boxes are "leaky" over the network and often have services talking without the user's knowledge.

This is changing, but it will take time to change user's minds. In the *nix world (which includes OSX), the desktop firewalls in my experience have been good for a very long time.

Windows gives you the choice when you connect to the Wifi - a kind of "is this network trusted?" dialogue.

Honestly the thing that makes sense is smarter applications. If you only need local connectivity, only listen on the loopback interface. If you open a port then you should expect to receive public requests on this port, and should have appropriate authentication in place.