It's arguable both ways. The most popular firewall in the world right now is the Check Point firewall, which is nothing more than a specialized application (firewall) installed on a multipurpose server (Windows, Solaris, Linux, or Nokia IPSO [BSD variant]).
Appliance manufacturers usually tout that simplicity, ease of deployment, speed, and specialized code make for a more secure firewall. That's arguable too, since all of that requires as much engineering as a software firewall application. It's just as easy to build a badly designed appliance as it is to build a well-designed software firewall app.
Provided you keep up with the firewall vendor's and OS vendor's patches, there aren't any substantial risks for one over the other.
My suggestion is to review (and demo, if possible) a few solutions and decide which one offers what you need and what you feel comfortable with. It is more important to feel confident in the deployment, maintenance, and review of a security device. It is worse to buy a product and not be sure that it is doing what you want it to do because you don't know what to look for.