If there's one thing I like, it's good, free software. I started using m0n0wall as my home firewall/NAT gateway a few weeks ago, and I'm completely in love with it.
m0n0wall is a small (<4MB) FreeBSD distribution that can be run from a compact flash card. It has a beautiful and intuitive PHP-based web interface for configuring and tweaking firewall rules and other settings. It's got more features than you can shake a stick at, and it's very professional and polished. As an added bonus, it'll even act as an 802.11b gateway if you've got the right hardware.
It's what's running on the little gray box buried underneath all those Linksys boxes in this picture. If you're looking for a quick, easy firewall solution, I highly recommend m0n0wall.