Others have stated this already, but here it is in one email:

If what you are looking for is strictly a firewall (something to
block/filter incoming and outgoing traffic),  you should look for something
that does only that.  Adding other things to this "firewall" - no matter how
convienent they may be - is just asking for trouble.  Ever wonder why the
big vendors don't sell firewall products that are also the company
mail/web/file server?  They aren't stupid.

Now, the above rant aside...most home users want more functionality from
their firewall device than just packet filtering.  I use mine for web,
email, samba etc.  It's a dual 133 with a few nics in it - total cost
including hub was $40.00US.  I put redhat7.2 on it, cleaned up the rc3.d
directory, set up a simple iptables ruleset.  Instant firewall, albeit not
very secure.  I also don't run anything behind it besides my home
machines..and everything there is easy to recover.

Windows has some alternatives as well that I have seen used with a fair
amount of success:

wingate - www.wingate.net
internet gate - www.maccasoft.com/igate/

And there are more, though most seem to work around via being a proxy or
transperant proxy.  I believe that e-smith does this as well - transparently
proxies everything through squid.

Anyways - good luck.

-dallas