What is pfSense?
pfSense is open source firewall/router software based on the FreeBSD packet filtering program PF that can be used as a perimeter firewall, router, wireless access point, DHCP server, DNS server, or VPN endpoint.
Why create your own router or use a custom solution like pfSense?
Standard routers are very underpowered and really are not well suited for performance. So the answer is better performance and a much more robust feature set like:
The most common/preferred way is as a router/firewall combo
2 ethernet ports or adapters (preferably PCI)
256 MB ~22,000 connections
512 MB ~46,000 connections
1 GB ~93,000 connections
2 GB ~190,000 connections