Many consumer routers with gigabit WAN connections can't actually handle that kind of traffic between interfaces, they're not like switches. If they include a gigabit switch you can share files at high speed across your network, but usually the WAN<->LAN component is going to be much slower. They figure most people aren't going to max out their internet connection very often, and if they need more bandwidth they'll get a pro-level device.
If you tend to use a lot of bandwidth, or you have more than a few clients connected, you should look into building your own. PC Engines Alix boards are very solid, high performance computers that you can assemble into a small desktop router for just under $200, and they'll give you flexibility to run whatever software you want, M0n0wall, pfSense, Linux, etc. They're low power, usually <10W, and very reliable.