Speaking of that, does anyone know of a router that lets you run any operating system (I was thinking OpenBSD) but with better energy usage than a full computer?
I run pfSense on an Intel box I got from AliExpress (i5-6200U, 8GB ram) as my firewall and use its 6x Ethernet ports for basic routing. Despite having a decently powered spec, in operation it takes 8-9W power.
Searching AliExpress for pfSense returns lots of options, many will have lower consumption.
For WiFi I have a tp-link AP (EAP-225) that takes about 3W.
This is a bit more than an all-in-one consumer unit (the one I replaced was a couple of watts), but I'm very happy with its power consumption.
You can install several packages including adblock and cryptdns-proxy. Here's a list of supported routers: https://openwrt.org/toh/start
It doesn't run OpenBSD, but it runs OpenWRT-based TurrisOS, and also supports LXC containers (generic ARM-based Linux distros like Debian, Ubuntu etc). By the way, it's possible to install PiHole inside such a container. Besides that, it has builtin WiFi (2.4 and 5 GHz radios) and a plenty of hardware resources (2 Gb RAM, powerful CPU).