I've also been using Untangle (untangle.com) and just love it.
This machine is nearly stock with all the nat/firewall done in a simple hand written script, it also serves as an Asterisk PBX so I couldnt use an appliance.
I'm not sure if the latest has all the features OP is seeking, but I've been using IPCop for ages with NP (which means I've not really visited the site and browsed as I should).
I suppose but the firewall is adequate. I figure its a toss between DG or squid/squidproxy and it looks like the later would do what I need at another location with a bigger AD infrastructure much easier so I might be inclined to to give it a whirl. Hopefully rpm's exists for squid somewhere...
Thanks for all the suggestions! jlc