The Linksys BEFSR41 and its higher-end siblings are designed to be used as gateway boxes on a home Ethernet. Typically, you'll hook one up to a DSL or cable modem, which will automatically switch into bridge mode and simply pass packets between your ISP's router and the Linksys box.
If you want to use a general-purpose PC running Linux as a firewall, have fun — but these little boxes are more efficient. The nicest thing about Linksys boxes is that they run out of firmware and are too stupid to be cracked. Also, they don't generate fan noise or heat. Finally, they have no moving parts, so you can expect a good long mean time between failures.
At minimum, your Linksys box will do the following things for you:
Act as an Ethernet router. You can plug all your lines and hubs and hosts into it to exchange packets even when your outside link is down.
Act as a smart gateway. When you configure the Linksys with a public static IP address (or tell it to grab a dynamic IP address from your ISP at startup time), it will gateway between hosts on your private network and the Internet, performing all the IP masquerading and address translation required to route your traffic.
Firewall your connection. You can tell it to block out all but the minimum sevice channels you need. You can specify separately, for each service, to which of your internal machines the traffic should be routed.
Some of the higher-end versions will do extras like virtual private networking and wireless.
I give my Linksys box the standard private-network gateway address, 192.168.1.1. I then give all my boxes 192.168.1.x addresses and tell them the Linksys is their gateway. Everything works.