pfSense is a very popular free and open source firewall solution. It does not only provide classic firewall services but has plenty of features like VPN server or can offer DNS, DHCP, proxy services… and many more. pfSense is also proposed by some companies as a commercial service with support.
Who is not protected by a firewall today? Nobody! Our Internet (as well as local) traffic is inspected by multiple firewall layers. They are present everywhere: on Internet gateways, in front of data-centers, between departments, even your workstation is running a firewall. For a few years, a new type of