pfSense is a great firewall/router for a nerdy home,
or business. It offers all the standard features (stateful firewall, NAT,
routing, IPv6, VPN, and high availability) for free.
Commercial support is available (recommended if you’re going to bet your
business on it. No different than any network appliance). I’ve been using it at
my house since around 2006. I recommend it to clients who are interested in an
inexpensive device (Netgate is selling them for
If you are interested in OpenVPN setup, check out pfSense and
OpenVPN. It covers the basics of setting up a VPN
for OS X, and iOS.