Everyone should have a router with firewall capabilities. A router will not slow your connection speed down (Its not all that fast in most cases). You may be thinking of a hub sharing bandwidth

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Sorry to break the news to you, but it is very difficult to defeat the alphabet soup boys. Let's think about this: virtually unlimited funding, lots of highly skilled people with deep expertise in their specializations, legal immunity from most statutes, and access to the patents of commercial vendors producing software applications and hardware devices.
Who is to say that there isn't backdoor coding in OSes, software, as well as hardware to allow them undetected access? On top of all that, you are using either phone, cable, or ISP companies for Internet service (which you
register for). That ISP, phone, or cable company connects to some Internet backbone (which will probably have either Carnivore or Echelon listening in or sucking up traffic) not to mention the companies own security and audit measures (which govy can subpoena for or just walk in and take the records =D).
With sufficient expertise, you can give local law enforcement and even the FBI a run for its money, but not the NSA. Remember, the NSA measures its computing power in acres (and those acres have been increasing in processing density....). If you are considered a high enough valued target, they will commit the resources for your defeat.
I'm pretty much of the mind that you have to get off the net (off the grid) if you want complete privacy. You'll be able to secure yourself against most threats (and should) on the Internet. All in moderation (and expertise).
Regards,
netwrkranger