Alot of us use computers and like to stay online 24/7, and we don't mind paying 40-50 $ /month for a cable/dsl connection that will enable us to interminably use Internet and keep our cool IRC chats up.
But how can you know that you're really safe? you just don't. Firewalls such as Zone Alarm, Internet Security exist, but those are proprietary softwares that cost money. most importantly you have no clue how they work, you just enable/disable everything you don't want, that's not really interesting.
Linux and iptables (netfilers) give you the chance to go deeper into network infrastructure and understanding how tcp/udp/icmp packets enter your network cards, and how they get NATed to such address etc...
I'm sure most of us have (or know people that have) old computers such as a good old p1 200, p2 400 mhz. those legacy machines can run Linux and Iptables marvelously and be your future gateway/router/firewall.
Install Linux such as Debian, Gentoo, Red Hat etc...(Do NOT install a graphical interface, everything should be done remotely using SSH)
Go to
www.google.com/linux and search for IPtables tutorials and start learning.
If you encounter any problem, just ask here or go to irc.freenode.net #iptables