I needed something to turn imminent doom into a proper gateway. I tried a lot of things. The first few are very lightweight systems with simple configuration. Work as a dream if you don’t do a lot of online gaming. They fall a bit short if you play games on a lot of servers as they expect you to set port mappings for any server. From Comsocks up the systems are more sophisticated, supposed to offer full NAT (usually installing a service at the network level), advanced security features etc. Some offer cool features like connection pooling and downlad manager etc. You really have to try a few and see which ones has all the features you want and works in a way that is easy and intuitive to you.

Kali - Kali comes with a simple proxy which works quite well
Winproxy and Proxy+ plus are extremely similar and offer local pop mailboxes and a lot of features for the money: proxy server and firewall, SOCKS, primitive NAT (port mapping needed), proxy, pop3/smtp server and gateway, HTTP cache. Free for 3 users (2 simult.). http://www.winproxy.net & http://www.proxyplus.cz/
SolidShare. NAT and proxy. Rule based firewall, DNS remote mgt etc. 29.95 3 clients 69.95 6 clients. http://www.solidshare.com/doc.htm
Spoon Proxy - commercial 39.95/59.95 - very lightweight, complete NAT for all protocols (although i needed to set up port mapping for online games), security rules, caching - small footprint and performant. http://www.pi-soft.com/
PPShar light version free up to 5 pcs - pro version does protocols like game etc. All protocols, NAT, rule based firewall (IP) tiny size $25 (1 user plus main machine) 49 (5 users plus main machine). http://www.pppindia.com/intl/pppshar/
Comsocks - proxy and NAT, DNS, VPN etc. full NAT at the network driver level. Worked out of the box as advertised. $35 5 clients. http://www.linkbyte.com/
Wingate. Proxy firewall NAT VPN. $39 3 users home / $79 3 users standard http://www.deerfield.com/products/wingate/
Browse gate. NAT incl DNS proxy w. cache SOCKS rule based firewall (VPN planned) free for 2, 44.95 for 3 http://www.netcplus.com/browsegate.htm
SurfDoubler / InternetGateway commercial. NAT, routing, DNS incl cache, firewall, remote gateway - connection teaming too. No http cache. $54.95 3 users. http://www.practicallynetworked.com/sharing/vicom.htm
Midpoint. NAT, Proxy, SOCKS, rule based firewall, connection teaming, download manager, DNS (all servers), cache, games aware. Loads of features, very impressive. $79 4 users. http://www.midpoint.com
Avirt gateway. Firewall and proxy, cache, NAT, supports all protocols one can think of. Gateway $139.- 10 users. http://www.avirt.com/
Tiny winroute. NAT (adv.), Router, Port Mapping, rule based Firewall, VPN, SMTP & POP Server, cache. http://www.tinysoftware.com/