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.