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I have a Linksys router. I could connect to the store, download games, play demos online just fine. However whenever I play GTA4 or Midnight Club LA (both Rockstar games) I have connection issues. I even setup the router and assigned IP address to the PS3. I enabled DMZ all that stuff. Still had connection issues.

This weekend I decided to hookup as follows, so far so good:
Qwest vdsl cable box/modem
to hub
hub to ps3
hub to router
router to PC's

I set the PS3 on automatic all the way. I was able to play MC:LA online without any connection issues or crashes. I have yet to test GTA4. When I tried hooking the PS3 direct to the modem to play GTA4 I had connection issues. I need to test GTA4 again and see if it works correctly now.