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Actually, it all depends on how the router is set up. Some routers are set to simply pass all traffic through them, and as such don't provide any security features at all. The home broadband routers on sale at Circuit City, though, all perform NAT and have some firewalling features. A Linux or BSD box can be configured to do the same job. Routers and firewalls share a similar function (passing on or rejecting packets), which is why the two applications are often bundled into one system, but there's no rule saying it has to be that way.
The linksys, netgear, d-link products that are called a router is not a really a router. They are mini-computers that share the internet or WAN connection, so you can hook to many computers outside your LAN. A real router does not have a firewall, but it balances the load, redirects the packets, and adds reduntancy to the network. You can categorized linksys, netgear, d-link products as smart routers. The term NAT (Network Address Translation) is the same method what a router does.
The linksys, netgear, d-link products are pretty secure if the manufacture updates the software to fix valunerablities and user checks the manufacture site to update the product. These products have their own firewall but iptables/ipfilter is much better. Though you can not have enough protection from the internet.