I've yet to see a router - enterprise, consumer or otherwise - that does enable that out-of-box and frankly it would be STUPID as SHIT to do that. But it does have it's uses.
My Tomato'd WRT54GL originally had outside web access via SSL as my roomie didn't have a laptop and he wanted to do work over at his girlfriend's place often. The ports were already ready to go for SSH and whatnot, just he left his Mac to go to sleep after 30 minutes or some such nonsense. He'd log in to the router, WOL, wait a minute, then he'd be ready to go. While we don't get metered for power usage (on-campus apartments, WOO!) it saved some power.
After he got his MBP and scrapped the iMac he never had a use for remote access but I never bothered to turn it off. Now that I found out about this worm I turned it off fast as Hell.