I do this at the moment (a Pentium 133), but I've decided to replace it in the near future with an integrated box solution -- they're smaller and quieter.

True, but they're less configurable. In my experience, I can do a lot more with my OpenBSD box than any of my friends can begin to do with their appliances (not counting normal Unix stuff I can do).

Of course, that may not be a concern for you.