I dont know of any home routers I'd trust to set up well as a VPN end point, some of the 2-Wire ones I've got with BT Business broadband lines here in the UK have the necessary config pages, but for all the serious stuff we stick on smaller Cisco routers like 1700 series and above. Some of the later Cisco 800 series can manage but are best avoided. Cisco 700 series should be smashed to little pieces wherever you find them.
As for monitoring to see if you've been piggybacked then as has been mentioned you can go either for professional style monitoring stuff like Ethereal which will allow you to also capture and analyse packets, or you can just check and see on your routers DHCP or MAC filtering pages and see if a new MAC address or DHCP address has appeared. DHCP is the protocol that assigns an IP address to each device that joins a network, so if you only have 2 PCs and your router has assigned 3 addresses.......
As for WEP cracking, yes it can be done. Is it worth it? Not usually, people wanting to store stuff usually spend their time hunting for unsecured webserver space or server farms, not home PCs. Your home kit is more likely to be used as part of a zombie network under the control of a hacker, and that's more a function of trojan virus infection than anything else. What they can do however is get free internet access to use to send a mass of spam email or whatever else they dont want to send from their own, traceable account. When the ISP finally finds where all the traffic is and shuts you down, the hacker moves on to the next unsecured wireless access. I actually had a guy parking in our works carpark in a huge, brand-new Volvo and use our wireless network for a day or two. When I finally spotted this and cut him off he drove off at high speed before security could get to him. Be warned, it does happen.
The home user using a router is far better protected than one without, since most routers by default these days block any unusual ports the minute you turn them on. The fact you are also being NATed, the process of the router changing your address from an internal address to an external address for talking to the net, also makes you far less susceptible to the standard hacker exploits.