[offtopic]
VBraga: when you post and you wanted to add more, simply press the "edit" button on your post. that will allow you to modify what you've posted without posting several times.
[/offtopic]

if you build your own firewall, there is no reason that it shouldn't be as secure as a hardware solution (cisco, netgear, linksys, etc) most of the home routers just offer NAT with some port forwarding. If you build your own, you can go way further than that. you can tell it who and what to block.

personally, I use a cisco 806 broadband router, which allows me to create ACLs (send the logs to a log server) so I can do my port forwarding, firewall rules and etc.

I've recently played with smoothwall and I like that too. It has better features than my current router, but I have to tweak a lot of the .conf files and scripts manually rather than using the web interface. I require more functionality than the interface gives me.