What is the best adsl modem/router with a built in VPN service?
How secure is this method with Windows XP clients?
Will I be able to log into a Windows domain using this VPN method?
If you can get your hands on a Linksys WRT54G with the DDWRT firmware I think you'll be happy.
DDWRT will run on lots of routers, but I have had great results with the WRT54G.
I'm not sure how you would define best, but I have used (over a hundred of) the Draytek ADSL routers with great success. They support PPTP dialup VPNs and IPSEC LAN to LAN VPNs. The current entry level model is the 2820, while the older 2800 and 2600 routers are available on eBay for very reasonable prices.
Security is as good as any GRE or IPSEC based VPN.
With a LAN to LAN VPN logging into a domain is seamless as long as your DNS server is set correctly. With a PPTP dialup VPN I normally log in first using cached credentials then dial the VPN and then access domain resources. Note that this can be a bit slow, not because the router is slow, but because ADSL uplaod speeds can be disappointing.
PS Windows 2k, XP and Vista need no extra software to make a dialup VPN to a Draytek. The required PPTP support is built into Windows.