Is there a way to lock down a Linksys router tighter then when shipped from the factory but still allow normal Internet access including gaming, P2P and IM?

not much more can be done and maintain normal internet or lan connections.

How would you rate the standard Linksys wired router, security wise?

what model?

BEFSR41 v4.3

There's not much security 'out-of-the-box' at all. Visit the Linksys Learning Center and click on the security links to learn more.

the firewall is enabled by default except Filter Internet NAT Redirection.

Block WAN Request
By enabling the Block WAN Request feature, you can prevent your network from being "pinged," or detected, by other Internet users. The Block WAN Request feature also reinforces your network security by hiding your network ports. Both functions of the Block WAN Request feature make it more difficult for outside users to work their way into your network. This feature is enabled by default. Uncheck to disable this feature.

Filter Multicast
Enable this option if you do not wish to receive multicast traffic that is sometime sent by your ISP.

Filter Internet NAT Redirection
This feature uses Port Forwarding to prevent access to local servers from your local networked computers.

Filter IDENT(Port 113)
Prevents outside intruders from attacking the router through the internet using service port 113. Select Enable to prevent attack through this service port. However, some applications may require this service port to be available. If needed, uncheck to allow those applications to work

couple of things I do:
1. Security password.
2. hide/disable the ssid.
3. normally with linksys you have default option 50 Ip address. limit the number to how many YOU need. no more.