As already mentioned, each and every Linux or *BSD distro has a built-in firewall. However, there are number of distributions that have enhanced firewall and routing capabilities, as well as a GUI to simplify administration.
1) If you a looking mostly for firewall and routing features I guess pfSense is a number one choice. You may also take a look at linux based IPCop, both being open source and free . Another one, boasting to be a Cisco router replacement is Vyatta, paid subscription as well as community edition are available.
2) In case you need more advanced solution, more like a UTM device, you can have a look at Untangle (mostly free, but some features are paid) or Astaro, which is a paid solution, but reportedly is able to block encrypted tunnels that users employ to bypass firewalls. Untangle can work both in router or bridge mode. The latter does not require you to change your current network configuration. While being quite resource intensive it has a really admin friendly GUI.