Member Rara Avis
As with anything, it will vary with make, manufacture, and exact product.
Not knowing what you need it for, I'm going to assume personal. If so, then I'll also assume you have a LAN connection, since you really, really don't need a firewall with dial-up accounts. (my op)
If that's the case, and you're operating under Win98 or higher, then you still probably don't need one. Uhmm.. unless you, like I did in the past, forget to go through your network settings and make sure that all your drives are password protected. Again, this isn't a definite thing, but is safety enough against general hackers and viruses.
If you DO want/need a firewall, then you are definitely better off with an actual piece of harware as opposed to software. I've heard many, MANY horror stories about software firewalls... brr..
And now that I went back on my browser, I realize I wasn't quite answering the question you asked... oh well, I'll leave the above in case anyone's interested.
Built-In Firewalls into routers... uhmm.. my first question there would be are you sure it has a firewall built into it? Not all routers have firewalls... uhmm.. I don't think. If so, you'll have to check the specs on it to be sure...? But the above holds true... unless you're operating a sensitive network, normal security should be enough... this includes windows' built in security and any firewalls. For MOST people, that is enough.
If you're talking about something sensitive though, like company material, etc. I would definitely consult some network experts.
Sorry I babbled so much.