I've just finished evaluating a SonicWall Firewall Appliance (model 2040). This thing rocks - it does exactly what you want. I'm not overly interested in virus scanning or URL filtering at the firewall, so no idea about that. However, as a firewall (with DMZ) and VPN concentrator, this thing looks really good. It takes a few minutes to set up, and being appliance based doesn't need backing up, doesn't have a hard disk, etc etc. Here in the UK, it's less than ?1500 to buy.
I've recommended werk buys one - if we do, I'll get to see it in production use - I'll keep you posted.