what is your watchguard not doing for you?
SonicWall has a good reputation in small, med business but I've never used them, but are you wanting to run scripts from the router every time someones connects? generally I would say that isn't the best of ideas and you want your servers to take care of that task, not your core routing equipment...unless I misread.
And being the cisco guy that I am, I'd be a failure if I didn't mention the Cisco PIX series 😉.