As a firewall (in the default configuration) SME is pretty secure.
As you start offering services (VPN, WWW, FTP, etc.) or forwarding ports to internal servers you are loosening security in a favor of usability. Please note that good security practice is not only securing internal hosts and installing the firewall, but also monitoring your network for intrusions, developing backup/restore plans, monitoring security related resources for new threats and applying relevant patches. SME lacks out-of-the-box convenient way to monitor and interpret the logs and IDS, but thanks to a lot of rooms for expansion, customization and existence of contributed add-ons, tailored for SME, those gaps can be easily covered.
If you need full-featured FIREWALL ONLY solution, dispute good security of SME, other firewall-only solutions may fit your design better, but if you are looking for integrated multipurpose server, posing as secure firewall in addition to other services look no further.
I havent used recently MS ISA server, but previous MS attempt (MS Proxy) was a joke security wise. Since recent (last few years) general availability Linux, BSD and "hardware" based inexpensive firewall solutions I never even consider to connect any MS based server directly to Internet, much less as a security guard
