I'll try to tackle some of these for you, although as you might have guessed there are several opinions on almost all your questions.
I'm not really sure what you mean by the first question? "Best way to connect".............what does that mean? What are you looking for specifically from that question? Security is what you make it. Are you asking whether or not to RUN security programs during online gaming?
I'm not sure what type of connection you are talking about when you say "broadband." Thats a generic term. But whether you have Cable, DSL, Wi-Fi, or ISDN, you will have a "modem" that connects to your provider's hookup in your home. You can either plug this directly into your computer, OR you can run it through a router. A router basically "routes" traffic between your modem and however many devices are plugged into it's hub (most small home network routers have 4 to 6 ports in the hub). These devices making up your "network" can be other computers, a network printer, etc.
Dont avoid the firewall in your router. It's your first line of defense, and often your best. One thing you DO want to do, as soon as your home network is setup, is to go into the router's control software and change the access password. This is usually set by default to some generic password like "1 2 3 4". If you leave it, it can be easily bypassed.
A Stateful filter, or Dynamic filter, is one of 2 different types of packet filters you'll find in firewalls. The other is called a Static filter. Static filters just read the headers of each packet, and then sort them according to preset rules defined by the administrator. Quick, simple and easy, and very non-intrusive for the most part. Stateful, or dynamic filters, read more deeply into the packets, and maintain a table that collects information on packet stream connections. Basically its a much more intelligent firewall setup, that can detect more types of intrusions and keep them out. It is also far more intrusive to your connection. You won't notice it when browsing the web most of the time. But it could definitely slow things down for online gaming (IMO). I'm sure there is a way to set certain connections as "trusted" just as you would in a software firewall. Most router control software is brand specific though.
Ethernet is DEFINITELY the way to go for a broadband connection, you want to stay away from the USB modems.
Yes, you can turn off individual firewalls, but you dont have to. And really, during web browsing I would recommend you keep your software firewalls running, as well as the router (although I turn mine off for playing Aces High or other online games). Opinions will vary on this. If someone is determined to hack their way into your computer, they can probably find a way no matter how many layers of security you put up. What I like is that the software firewalls on your computer are far more interactive and user friendly than the hardware firewalls. Even if someone does get through and plant malware or spyware on your comp, a good software firewall will pick up the outgoing transmission and give you the chance to shut it down. Then you can track down the origin file and stomp it into oblivion.
