I'm running the Alcatel Frog modem on my SuSE workstation, I use Chains to do the firewalling and also got it set up with IP Forwarding for my Wireless LAN so that my Zaurus and Laptop can use the connection.
My workstation (which is in my study) is never turned off so this setup works well for me.
I *Did* have a problem with dropped connections, but that's all been cleared up now
Another cheap option for a GW machine would be the micro ATX mainboards, some of these come (very cheaply) with a pre installed VIA 800Mhz processor that requires no fan, Intergrated Ethernet etc, one of these could be had for the same sort of money as a halfway decent ADSL Router. The processor is no speed demon, but easily fast enough to be a FW,GW and simple mail server
http://www.viavpsd.com/product/epia_mini_itx_spec.jsp?motherboardId=21
Flash cards are a possibility as a very quiet and efficient Hard Drive, but be warned that they do fail if the same area is written to often so are pretty useless as swap space or for logging.
Shameless plug, I have a nearly new internal PCI card ADSL modem going cheap if anyone wants it. I am not using it myself as a> I have no spare PCI slots in my machine now and b> the Linux drivers are Binary only kernel drivers so you have to use a very specific kernel and can't upgrade until they release new drivers, which is annoying. £30 if anyone here needs it..
Wayne