New router

A new router wasn't really necessary, but I thought I'd get one anyway. I ended up purchasing a Linksys BEFSX41. Pretty cool router, it includes a firewall and VPN end point. What I thought was (for some reason) that the router would act as a VPN server. That's not the case. I'd need to run a server in my LAN for it to be accessible WAN wide.
 
Since you could do a round robin setup with a DNS server, could you not do the same but with a web server?