For people that have an old pentium system lying around doing nothing, then I suggest you try this. It is built on top of RedHat Linux and is topnotch, not to mention free. I use this myself, and highly recommend it. Sygate is a NAT type of Internet connection sharing software.
Ease of use is it main feature.
Winproxy is proxy type internet sharing software. Maximum configurability is its main feature. Has support for Internal, External, and PSN networks. VERY handy for people with a network card that needs to change settings often, or needs to reconfigure for a LAN party. Registration is extremely affordable.