Linux has always been a great player in internetworking, thanks to a very advanced networking stack. In addition, the filtering capabilities provided by Netfilter are only surpassed by a very select group of devices. It doesn't come as a surprise there are a lot of firewalls and internet gateways out there that are running this powerful combo.
Detailing the features of linux as a firewall/internet gateway would take up an entire article so I'm not going to elaborate on it. It suffices to say that whatever you can think up of setting up, the linux + netfilter combo can probably do it. Worst case, there are other third party applications (Squid as a web proxy and content filter, for instance)   ...