Personally I like something like Coyote Linux as my firewall. Because that can act as an Internet router/gateway and also be your server, plus it's Linux and you just need a working 486 computer with only a floppy drive and two ethernet cables (or ether and modem, etc)! I'm not a big *nix fan when it comes to my every day computer, but for Internet and general security usage *nix is the best! I just find that Coyote seems to be easy to deal with, plus it has an installer that can be used on a Windows plateform to setup the bootable server disk.