I have been thinking about this a lot (you will find out more later 🙂 ).
As usual it all depends on what you are trying to do. If you are worried about your connection to the Internet then consider a DSL/Cable Router/Firewall some new versions even have VPN so you can remote into your home network and have secure, trusted, Internet access (great for travel). If you are thinking a bit more robust then you might consider Gentoo http://www.gentoo.org/doc/en/home-router-howto.xml which is Linux or pfSense http://www.pfsense.com/index.php?id=17 which is BSD. With the Gentoo you will be doing a lot of command line configuring. pfSense has console configure and a web interface and a lot of great looking services. I have just started looking into deploying this but I hear it is great and easy to use.