The router I'm using is a Wired Router. I don't allow wireless in the house. So, the router has no wireless capabilities.
But, it does have a firewall built-in. Basically, it is supposed to filter all incoming and outgoing communications. It appears to be pretty thorough. I've configured all the settings, and such and used various online scanners, and none of them have reported a weakness.
Hopefully, it is good. It's one of those things where you never know how good something is until it fails.
The link is rather long, so here's a tinyURL to the page with information on the router / Firewall I'm using:
http://tinyurl.com/25shvh
It definitely has more firewall features to configure than the OS X firewall. So, it seems pretty thorough. Hopefully it is a secure as it seems.