I disagree with the statement that it will not let it in. It will let in some VPNs, like the ones tha MS uses in Windows by default. It will also allow for Cisco IPsec VPN tunnels to Passthrough them, assuming you enable the IPsec passtrhu. What it will not do is terminate a VPN of course. You cannot forward GRE packets as that is not understoond by the simple controller in the linksys OS. They do not come in on a TCP/UDP port, so forwarding is poinless anyways. All you can do is allow passthroughs and set the MTU down to 1492 or less to allow for the overhead of the tunnel if needs be. That is how I get most of my tunnels through is to change the MTU to 1492 and let it be, if you are trying something fancy, like setting up VPN concentrator or multiple tunnels you will be out of luck, but in that case spend the money and buy a real firewall to handle that. This BEFSR41 is a good little SOHO device for what it does, but it does not do it all, just keep that in mind. In the mean time it does do VPNs you just need the MTU, passthrough and most importantly to set up both ends properly to handle the tunnel.
EV