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Yea it really is a pain, I'm really surprised no one has tried to hack my pc through those named ports. I don't know what kind of data could be sent through them, but i'm sure you could easily send something the user wouldn't want.
Normally, nothing listens on those ports (no normal OS software or anything else I can think of). The only thing that would probably be listening is the update client and WoW.
Now unless WoW has some security flaws in the code that listens on that port, it shouldn't be a problem. If WoW's not running, there's nothing listening and the person (or cracker) would get a connection refused if they tried to connect on that port and it wouldn't show up as anything useful on a port scan (port scanners are used to browse large sets of IP addresses for common security holes on known ports).
It's a security risk allowing holes into a firewall for a user at a company's network (for lots of reasons) but as a home user, I wouldn't worry too much about it. You can always disable the rules after you're done with the download.
Edited, Tue Dec 21 21:13:51 2004 by HalfEmpty