i have a Soekris Net4801 as an all-in-one box (router, firewall, dsn server, proxies, ups monitor, ...) and a Shuttle XPC SB77G5 as a desktop box. i highly recommend both brands: they're sturdy, have quality components and are fully supported. i used to have a large dmz with boxes running OpenBSD, but since a few years i just use virtual machines (vmware now - switching to qemu soon and hopefully won't regret it)
many people seem to love virtualization
