At work I have tried LinkSys, DLink and Buffalo.
None has a "firewall" but all do NAT, that is kinda firewall in this case.
With DLink I had problems setting it up. Finding correct drivers was a mess also. I guess the support is better over there tho.
In the end, the bios had to be DOWN GRADED to get all funktions to work. The main problem was that my DLink WLAN card was not compatible with my DLink WLAN router. Both was "802.11g" standard, but of different "custom" type.
With LinkSys I did not personally play, but my collegue did. He had to down grade the BIOS also

He was unable to hide the SID (Wlan) before that. The support in USA had no help for him, so I guess it was an issue only here in Finland?
I peronally am using Buffalo. It just works. Only problem is signal strenght, that is not the best. Well it has a connection for an extra antenna, that I never tried.
I guess my collegue would still use LinkSys, because it's signal strengt was better than Buffalo.
There are also models of WLAN routers that has DSL or other embended funktions. But I would keep the DSL seppareate. One reason for this is that if the ISP changes, and one needs a different kind of modem, one would probobly still be able to use the same WLAN router.