I would like to protect my network (if only so that I'm not hacked into), but it's not easy with the two pieces of equipmment (SMC and Linksys routers) that I've tried. (Because of the base station's current location, the signal doesn't appear to get outside the yard anyway. And there were no networks in the neighborhood to begin with.) Neither offers a way to password-protect the network, although I think the Apple AirPort basestation does. MAC-based protection (which is based on the identity of the interface hardware which is trying to join) is possible, but it means typing in MAC addresses and figuring the distinction between being a client and "associating." (OK, call me lazy.)
It would actually be pretty easy for the router makers have a one-click process where, after having "introduced" your computers to the gateway wthout MAC-based access control, it takes the database of MAC and Internet addresses from the DHCP server and uses that as the initial allowed MAC list.