On Technology is announcing OnGuard, a firewall that uses stateful inspection instead of proxies.
Point also uses stateful inspection.
Any comments would be appreciated. These are called context switches, and they are expensive in terms of CPU, especially if they happen very often. The first CS happens so that the proxy can 'read' the data contained in the packet. The second when the proxy 'forwards' that data. Adding to the overhead, most proxys are built to 'fork' a process for each connection through the firewall.