Read http://www.howtogeek.com/51772/how-to-setup-a-vpn-server-using-a-dd-wrt-router/ to discover more. Now you can google more and look at the DD-WRT pages to find routers that can run that.
We just got a fancy-ish "VPN router" (Cisco RVS4000) but it turns out that it seems to only want to do VPN from router to router unless you use one particular Cisco client program (which, it turns out, is hard to use and unreliable).
We want to find a router that has a built-in VPN server that will support logon with the standard Windows VPN client.
Does anyone have one that they know works this way?