I have built my own Router/Firewall from this barebones kit
http://www.mini-itx.com/store/?c=34#JBC365
And then installed OPNsense which is a fork of PFsense. I originally planned to install IPCop but that distro doesn't like usb keyboards.
I would have to say that most Router/Firewall distros are very secure out of the box as that is what they are designed for. I don't think going down the Linux Distro with iptables is for the novice but if you go with one of the mainstream Router/Firewall distro then you can quite happily end up with a very secure system that performs much better than a ISP supplied Router.