I recently installed pfsense at work to replace an aging smoothwall 2.0 firewall/transparent proxy. I like the use of FreeBSD as the underlying engine of pfSense. The add-on packages are relatively easy to install, except snort IDS has a few problems that are supposedly fixed in an upcoming version 1.2.3. You have the ability to enable SSH on the firewall, so you can use a command line to configure the firewall or just use the web interface.
I ran across another firewall/transparent proxy/IDS called Vyatta. I am currently testing out the features. At first glance, its seems to have a few more features than pfSense. You have the ability to use a web interface or a series of command line scripts that interact with the 2.6.x Linux kernel.
I am still do not have a determination of which I like better or which performs better on a given set of hardware restrictions.