Personally I favour Cisco routers, which can be bought used from eBay for the same sort of prices as a decent SOHO router. The upsides of them are a generally better (if not perfect) level of security, greater reliability, and a better build quality. Downsides are that they're generally bigger, noisier, and more power hungry; they don't generally have wi-fi on them, and they are more expensive. Finally they have no fancy web interface, so they have to be configured using a command line which means you need an above-basic level of knowledge to set them up.
I have a number of tutorials on my website about doing this, and given the number of messages I get from people that have never touched a Cisco router before, it's something more and more people seem to be doing.