For the vast majority of people even the most simple firewalls will provide protection. The very advanced ones can detect attacks against things like databases but if you do not have a database why do you care. Most firewall also support very advanced VPN configurations and if you are not going to use that it is also a waste of money.
Pretty much if you are running gaming servers you just need a simple port filter firewall. Most commercial cisco or juniper routers have that as a basic feature. Even many small business class routers can do that.
Sonicwall are generally what smaller customers use. You will also see many people using fortigate. There are many brands of firewalls. I think the only large one you missed is netscreen (ie juniper). I suspect any firewall in the $200 range will meet your needs...unless you really want checkpoint, i doubt they sell anything that cheap.
I am going to guess the sonicwall is going to be a better box. I have not kept up with all the sonicwall models so I don't know which you referring to. The SA520 is only cisco in name it is really a linksys rebranded box. It does not have all the features of the main line of cisco firewalls. Not sure if they sold these to belkin also when they ditched linksys.
Wireless bridging without a license is mostly about transmitting on the proper frequency not so much how you encode the data. You can get systems that transmit on the 2.4g wireless band that are not 802.11 based. Which exact model you choose will depend on your distance. What you want are wireless bridges on both ends. I would check out the company Ubiquiti something like their airgrid system. This is just one example there are many many products on the market. Ubiquiti tends to more directly market to the consumer rather than to the companies that install wireless distribution system.
Yes they make special mimo antenna that contain 2 antenna in the same unit. Not sure how well they actually work. Getting wireless to really run at 300m tends to be mostly smoke and mirrors. Most the tests you see are done in huge open warehouses where there is no weather to worry about.
Almost all firewalls are easy to manage. They key is understanding what you want to do. A firewall is just a tool and it does have some very basic default rules. Unfortunately all firewalls will do what you tell them so how well they work is dependent on how well the person configuring them understands the concepts of data security.