Building your own gateway router?

I have a friend who recently put together some spare parts and bought a few new ones and built out a really nice router/firewall for his home. Basically he has it running gigabyte ethernet to his house which allows him to monitor and shape all the traffic to his children and the rest of the house. He does have a wireless gateway as well, but the wired pcs all go through this box.

Has anyone else had any experience building their own router/firewall for their wired connections? What advice would you have for someone considering doing this themselves?