I hate running without my router.
I built my own using an old p3 I had lying around.....it runs pfsense 1.2 rc4 ;
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I certainly would'nt recommend bsd/linux routers to everyone as there is a steep learning curve ,but having
any router is better than nothing.
Routers are very definitly worth it.
Remember MSblaster ? (if you don't , just try connecting a pre-sp2 xp rig to the internet without a router , you'll learn

)
Having a router makes virii/trojans/worms of this sort impotent.