I have a LinkSys router, but right now I am only using it to provide NAT functionality. Right now, all my traffic from the LinkSys is sent from the LinkSys to my OpenBSD box acting as firewall/proxy server.
I also run natd on the OpenBSD machine to route traffic to my FreeBSD mailserver behind the OpenBSD box.
I prefer the OpenBSD box as it gives me fine grain control of what I let in/out/monitor. I am using OpenBSD 2.9 with two 3Com905 NICs and it works just fine.
I still use ZoneAlarm on my Win32 machines so that I can control what apps try to contact the outside world. ZoneAlarm is great!
There are a large number of tutorials on how to setup an OpenBSD box as a router.
Here is one such article that is well written:
http://mlowe.phpwebhosting.com/pages...e=openbsd.html
It's a little overkill for a home situation, but it keeps me entertained for hours on end. My wife just doesn't understand why it is cool that we have a mail server in the house. She just looks at me and smiles.