This is true. Hackers can do all kinds of nasty tricks and exploits. I've always used comodo and it tells me when a program tries to use the internet, what the program is and the ip address it's headed to.
Also alot of good AV's have trust ratings for files, for unknown files it finds you can tell it if you want it to be allowed or blocked. Comes in very handy.
Heres an example of what I mean by their tricks.. And that below is only a portion of their post on a subforum with over 600 other threads selling similar services.