Honestly, as much as I'm a fan of isolating the firewall from the system being protected, hardware firewalls don't give you any big "extra" measure of security. Hardware firewalls are still vulnerable to exploit - flaws in the way they analyze packets, etc.

If you have the money to spend, and especially if you're protecting more than one computer, it's nice - but it's not a necessity if you only have a single computer.

Pragma: That's true, but it does take the load of processing traffic from Windows. My FreeBSD machine took a beating trying to analyze traffic due to MyDoom, Nimda, etc to the point I couldn't use it (It is a P2-233 with 32 MB RAM but thats beside everything).

Yes, there exploits out there for hardware routers, but I haven't seen nearly as many exploits for them as I do Windows.