I have had a second hand Dell computer that I was using as my router/firewall for years. It's a big, loud beige box running a PII 450. It's much louder than my other more capable machines. I got sick of it and picked up a Soekris net5501 about six months ago. I'm relatively happy with the Soekris device. I could have purchased cheaper alternatives like ALIX, but I knew I wanted to run OpenBSD and the Soekris devices seem to be favored by the OpenBSD community.
I bought a net5501-60 which has a 433MHZ CPU, 256MB of RAM and four 10/100 Ethernet ports. There's a newer model, net6501, which has gigabit Ethernet but it's a lot more expensive. One nice feature on the net6501 is the ability to boot off of a USB device. The installation on a net5501 is a bit of a pain since you have to use PXE booting over TFTP. Since you only need it for installation it's not that bad. Also, you only need it for the first installation with OpenBSD. After that, you can use bsd.rd to either upgrade or reinstall instead of using PXE/TFTP. I upgraded from OpenBSD 4.9 to 5.0 this way.
The console is curiously slow since they picked a rate of 19200. You can feel how slow the console is when you use it. I didn't change this since I interact with the device so seldom through the serial port. After you install you can use ssh to administer everything.
I have to connect to the net5501 from a different computer since it only has a serial port. My laptop doesn't have a serial port so I had to buy a USB to serial cable. There's a large distance between the laptop and firewall so I'm using a null modem extension cable. I have used this setup to connect from Debian (minicom) and FreeBSD (cu, tip, minicom) without any problems. As long as you use 19200, it should work.
The Soekris box is nice but overpriced. If I was to do it over again, I might buy something cheaper and spend some time getting OpenBSD to work on it. However, I have a lot of projects I'm working on and I didn't particularly want to pick up this one. I will be very excited once the Raspberry Pi devices come out. If they made a RPi model B with 3-4 Ethernet ports, I wouldn't have a need for this Soekris machine. It would be a fraction of the cost.
I'm using an 8GB sandisk CF card for storage. I was using an old 160 GB SATA laptop hard drive but that failed at some point. The net5501 gets really hot and it lacks active cooling so I think that may have contributed to the problem. My laptop has a 500GB hard drive so I didn't really care if the 160GB failed. I have been using the CF card alone ever since.
I'm now running OpenBSD 5.0 on the device. I have been lucky with the 4.9 release. This is the first time there hasn't been any errata for a release. I haven't had to rebuild the system to patch a security or reliability fix.