I've had considerable success using a combination of Gentoo, iptables, and the excellent documentation (especially the Home Router Guide) that Gentoo supplies. Security's at least as good as any other Linux distro (and often better due to the GLSA project), and updating is as easy as
emerge -u world.
In general, I find it's more customizable and flexible to use a general-purpose distribution and build your own firewall solution than it is to install a dedicated firewall distro. In the future, you can expand that box to also handle web proxying or mail delivery, among other things. And if you do, you know how to alter your firewall to make exceptions for those services, and you can secure them more easily.