As far as SonicWalls go, stay away. I have set some up for customers, and they leave a good bit to be desired. Netscreens are good. Cisco ASA5505/5510 firewalls are probably the best for the money. If you are open to *NIX based firewalls, check out Astaro (
Astaro Internet Security - All-in-One Unified Threat Management Solutions for Complete Network, Web and Mail Security Protecting Against Hackers, Spyware, Phishing, Viruses, Worms and Spam). They have appliances as well as downloadable wares. Customers that have been sold Astaro firewalls, have loved them.