Linux, BSD, and Solaris come with IP filtering as part of the
kernel.
See the
Netfilter/iptables
tools in Linux,
the ipfw tools in BSD,
and the Solaris Management Console in Solaris.
Zone Alarm
is probably the best solution, in terms of
capabilities and performance.
Plus, it's free for personal use, and quite inexpensive for
business use.
Wingate
was a circuit-level gateway, now with featured
added to make it a proxy server.
Home / Small-Office Firewall Products
Linksys
makes some very nice NAT-based firewall products,
down to US$ 40 or less at home electronics stores.
If only more cable modem users would get these...
Cisco —
Dedicated boxes like the PIX line,
plus firewall capabilities
built into their line of routers.
SecPoint's Protector
is a Unified Threat Management box to block
malware in network traffic payloads, and also
do web content filtering and web proxying.