I like security in layers. If something bad happens to the router the software firewall is backing you up. If something happens to the software firewall you should have the router backing you up. I use OpenBSD + IPF as my firewall, but Im checking out PF for my OpenBSD desktop, ipfw for my ibook, and iptables for my linux machine, just because Im paranoid. When I get more machines OpenBSD + snort will be setup, but that can wait. Basically, you can never be too careful.