Smoothwall have developed a fantastic firewall that is overly secure for home use and could teach a few people allot. If you just have a router at the moment this is a great free way to have VPN connections that are more secure than PPTP over open port. The software that emulates a firewall and can be ran on a physical PC that has two NIC’s or alternatively run it as a Virtual Machine like myself and you don’t need any extra NIC’s just assign two NIC’s to VM. You have external connection plugged into first port (Router) and your internet connection in the other port (Swicch). Once you have installed the software and have the machine running you can access your firewall via web interface https://ipaddress:441
The quickest way to do this is to download the ISO image and run with Vmware, I found I had issues running on MS Virtual PC.
I ran this for about one year on an old PC (233Mhz, 128MB RAM, 1GB HDD) and it ran without any problems. The initial setup isn't difficult to do, and the web interface is pretty intuitive. I didn't do anything hardcore with it, such as setup iptables, and I didn't setup a DMZ. The latest version of Smoothwall, version 3, is even better.
(hope I didn't sound as if I was advertising it, hehe)
I got rid of the PC about about four months ago -- a little too late for that old machine, don't you think? . I don't have any plans to test out any other OS/software based firewalls, except Untangle. If you've used Untangle, I'd love to hear what you have to say.