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Note that I tried to do that very thing two years ago with a cheap Linksys router that was, in theory, supposed to be able to work as a VPN endpoint. I couldn't get it to work. I gave up and went with SonicWall, which was more expensive, but which Just Worked.

I've never heard of SonicWall over here, so I guess that brand is not all that common ever here. (though I do see they've got a UK and German site)
I wasn't going to use Linksys either. I've had bad experiences with it in the past. I was thinking more of Draytek, more in particular the 2600g model which can do about anything I want it to. The only thing it lacks is an internal gigabit switch it seems. Which I think is a shame, because all the PC's I'm going to connect it to have built-in gigabit ethernet connections.
It seems gigabit routers are still pretty rare for consumer or semi-professional use. Shame.

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My recommendation is to look online at the user manuals for the router you're thinking of getting (or the user manuals for the replacement flash software, if you're going that route), and make sure the instructions explicitly show how to set up such a situation, indicating that it's a supported feature. If you can find that info, then you're probably OK to buy that router.