Because you can usually get better security and routing features then you'd get out of a store bought SOHO router and you can recycle old hardware if you have it laying around. I had a Linksys myself, it died, I put a $10 NIC in my old PC so it had two, made a Linux router out of it and it's been going strong for over a year now. It's something to toy around with if you want to learn things about Linux also.
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