Is a updated firewall from Apple, Microsoft or ipfw more or less likely to suffer from exploits than a cut-rate device from ASUS, Netgear or Linksys that hasn't been updated in years?

> Or I might want some services open to my lan and only a smaller subset opened to the public (something the personal firewalls built into many OSes can't do)

That may be fair enough but that's just a reason to improve the firewalls in the OSes. As soon as you tether to your phone or use public WiFi you're going to want a solid local firewall anyhow.