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I've just installed a SmoothWall Express 2.0 firewall at the edge of my LAN to replace an aging WinGate 4 proxy server. SmoothWall is an advanced, open source firewall distribution based on the GNU/Linux operating system.
Along with the firewall, SmoothWall provides transparent proxy services, DHCP, Dynamic DNS and VPN facilities. Network Intrusion Detection is provided via Snort.
The firewall is remotely manageable via a slick web interface or SSH. The web interface even provides controls for rebooting or shutting down the firewall hardware!
SmoothWall maintains a wide range of logs including: traffic graphs, core kernel activity, IPSec, proxy, IDS, etc. Historical data is retained.
Surprisingly, this sophisticated software was incredibly easy to install and configure - I had everything up and running in around 30 minutes - as no configuration of workstations or servers on the LAN was necessary.
It never ceases to amaze me that software of this quality is available for free. What are you waiting for?