I've built one once... It was a Firewall / Router using straight up Linux, Shorewall, and ClamAV for a 10 meg connection. Our main firewall just went kaput, and the company was not responding to phone calls for support (it's a long story).
Set up Linux on a system with 8 NICs and went to town.
Edit:
It's not hard to build one if you understand the concepts of routing and such... Not for the faint of heart if you have to make one work well enough to be used in production.