Here's a good one for free.
http://www1.k9webprotection.com/They make enterprise Proxy Servers (which I use at work) and have a content filtering service that the K9 product uses. It's easy to block or allow sites based on categories, such as porn, gambling, shopping, social sites, etc. and by default will block most of what you want to keep kids away from. If you do run into a site that is blocked that you want access to, it will display an admin page with a link that prompts for the password that you chose, and you can add it to an exception list.
It also has a sound of a dog bark that you can turn on so you can hear from across the room if they hit a blocked site.
Cheers,
Gary