Securosis analyst Mike Rothman recently wrote a paper on the benefits of website protection services (WPS). I recommend you give it a read, as it's some of the most descriptive research I've seen on the subject.
Content in the report was developed independently of any sponsors and is based on material originally posted on the Securosis blog. It concludes that website protection services can add measurable security to your web presence in short order, for a reasonable price compared to deploying and managing one's own equipment and infrastructure.
From the summary:
As with any managed security service, WPS can offer a quick way to deploy protection without investing in signiﬁcant infrastructure and hard-to-ﬁnd application security skills. Of course there are trade-offs in ﬂexibility and control when using any managed service, and every organization needs to balance those trade-offs when making build or buy decisions on key security initiatives.
The paper explores those trade-offs and the best way to manage them, with guidance in such areas as website protection basics as well as deployment and ongoing management.