Typically just the hardware firewall for the SOHO router with the latest firmware update--right now, I'm using a NetGear WNR834B--and making sure to change the internal network IP address from something other than the default.
Otherwise, I've been playing around with IPCop on a spare machine which seems to work fairly well and easily enough.
On the software side, I've got Peer Guardian 2 running.
YMMV