Yes, the Actiontec GT Series of DSL Modem and DSL Gateway act as a Firewall. They provide security through "Stateful Packet Inspection" or SPI, which inspects incoming data packets to make sure they correspond to an outgoing request. Unsolicited packets (which could be harmful) are rejected. Through the use of specific Firewall settings, the firewall can be configured to block outgoing as well as incoming traffic.
However, the Actiontec ED800T, ED800TA and UD800TP have no Firewall function. They are only modems, and do not have the ability to inspect packets or block traffic.