The Routers hardware firewall has the advantage of being there i.e. you don?t have to worry about basic protection. Been hardware it is smoother and probably less impeding on speed.
Any of the decent Software Firewall ( Zone Alarm, Sygate, Tiny etc.) has more capacity then the Entry Level Routers, they have more flexible setting, and they can block programs calling home (The Hardware Firewall does not block outgoing info.) Being software it is always liable to get into some trouble (like slowing down freezing the computer etc.)