I'm looking at this very thing myself at the moment to secure the "HO" segment of my SOHO network, and unfortunately there is no clear cut answer. There are many devices and security gateway appliances out on the market such as the Zyxel USG range, but absolute performance (which is the key) figures are hard to come by. I will start with the assumption however that what you are actually wishing is to secure/encrypt all outbound traffic behind your router to prevent snooping, and get around geo-borders and such like?
In that case you will need a router which has a built in VPN client. Very few have these OOTB, but most modern routers are firmware flashable with DD-WRT or some such like which should give you that functionality. Next...