It all depends on your needs.
If your primary objective is security, then PGP is the answer because it's a proxy type (layer 4) firewall, which is more secure.
If performance is your objective then Checkpoint firewall1 is your answer. The proxyis slower because there is more process to go through. Firewall 1 is a layer 3 firewall.
More security=less performance.
Better performance=less security.
As far as VPN modules are concern, both offer them and they are both very good.
For web and/or mail filtering, I recommend you do that on a different system for it takes a lot of memory and CPU on it's own. If it gets busy, it can slow down your FW performance.
If you wish to have more information on firewall, go to www.gocsi.com, they have a great way to compare them. They also have information on different options you might be looking for.
Gauntlet and firewall 1 are not the same types of firewall. They operate differently and offer different services.