When you can get a router built in for very few dollars...
http://store.yahoo.com/unityelectron...rcadslrow.html
The advantage is connecting multiple PCs to your internet connection is easier, you don't have the software firewall eating CPU cycles, if you have trouble with a specific game or protocol you can always set up port forwarding or enable the DMZ forna short while. Most applications will not have a problem if you just plain use it without messing up the settings.
Don't be fooled by the price, this is high quality shiz, the manufacturer discontinued this feature rich model in favor of a cheaper model with fewer features to use as their high end consumer router.