I used this how-to (as advised by the wikipage for my router):
http://wiki.openwrt.org/toh/asus/wl500gp?s[]=wl500gp
And it worked quite well (yes, i only store that site here, i doubt that exact router is interesting to anyone).
In short all i did was:
1) download the according firmware
2) Set the router in diag mode by unplugging power, holding reset button and plug power back on
3) Use tftp to put the downloaded firmware on the router
(I had to restart it manually, but the wiki says it can happen).
I didn't look much yet, but as of now i am happy. I ran ssh (yup, works right away, after setting a password). Cool. I run "iptables -L" and it is installed. I can check which kernel is running and move around like usually on a linux system.
The webinterface looks ok too (more or less like webinterfaces always look).
Still open for comments, tips, experiences.
PS: The router is available for 35 Euros (more or less 35 Dollars too). I'd say it's a good deal (assuming what one wants is a cool router with all bells and whistles).