Shuttlebus:
You're right in that a dedicated hardware firewall can be expensive, especially for the high end enterprise stuff, and does offload the work of a software application.
However, at home I've got a NetGear DG834G which has a firewall built in, and it also has a 4 port 10/100Mb Ethernet switch and 802.11G wireless too. All for about £130. And I forgot it has an ADSL modem too which is so easy to set up it's untrue.
Because I use my laptop for work in all sorts of places, I also have ISS' BlackIce firewall and McAfee too. The home PC has the BlackIce firewall and AVG.
To stop popup ads, I have Meaya's PopUp AdFilter, plus "No! Flash" plus Google toolbar - works a treat.
Links for most of the above:
BlackIce
Netgear DG834G
Meaya PopUp AdFilter
No! Flash