First off, if you don't have a stateful packet inspection firewall/router protecting your broadband connection, you should get one.
For those needing wireless support and want good security, I highly suggest the Linksys WRT54G family of wireless routers. I recommend them because they are solid boxes and one of the few wireless routers I have found that do stateful packet inspection.
And the best part is that you can use a 3rd party firmware instead of what comes on the unit. How is this possible? The WRT54G family of routers uses firmware based on Linux.
OK, so you already have one of these boxes and are wondering why to change to one of the other available firmware. Additional features and better performance good enough reasons for you?
For instance, a lot of people who do file sharing on the BitTorrent style networks have problems with the regular firmware as it has a maximum number of connections that can easily be reached.
Or perhaps you want to assign specific IP addresses to specific network cards in the DHCP server that runs on the WRT54G. Can't do it with the base firmware.
There are more than a few different flavors of firmware for you to use, but I recommend going with DD-WRT.
If you do end up using DD-WRT for your firmware, please make sure you pay attention to the published process of migrating to the firmware on the DD-WRT site.
Specifically, you need to revert your router to factory default settings BEFORE and AFTER you upload and install your new firmware.
For more on DD-WRT and other flavors, please visit these links:
Ant Drewery: Alternative firmware for Linksys WRT54G router
Scott Hanselman: More on Alternate Linksys Firmware
Scott Hanselman: Linksys Firmware DD-WRT BitTorrent optimizations