My recommendation is to use a software firewall behind a router with a hardware firewall. The router's firewall wouldn�t be as robust as the software, but remember, it's always on, as specially those critical seconds when windows is running at start up and the firewall hasn't started up yet.

Gaming issues can be addressed with controlling the DMZ within the router but remember to return the DMZ to an address that isn't your computer to keep your protection level after. In my opinion routers shouldn't be use without a software firewall, software firewalls can stop a leak of your information from leaving your computer, your typical router can't protect you this way, however if you had the money to spend, you could purchase a hardware firewall to get the protection, however it's not cost effective.

How good is your firewall? Check this site out: http://grc.com/lt/leaktest.htm
If any of you are using BLACK ICE, you may want to rethink your firewall program after this.

Good luck