Since you are coming at this from a privacy standpoint, I'd suggest a router that runs some type of open source firmware such as OpenWRT. GL.iNet makes some good routers with their own fork of OpenWRT which has a very easy to use and intuitive UI as opposed to flashing OpenWRT to a supported router (setup then is very complicated).
Many routers out there will spy on you, make it difficult or impossible to set up privacy features, and have limited software updates for security patches.
The GL.iNet Flint 2 is a modern, fast router and makes it easy to setup a VPN, supports AdGuard home, and setting custom DNS providers. I've had it since launch and its had numerous updates too.
A VPN and private DNS hide your internet traffic from your ISP who will undoubtedly sell your data. However, a VPN is a transfer of trust so you want to use one that is open source, audited, and has a good track record of not logging any data. IVPN, Mullvad, and Proton are good VPNs. Quad9 and NextDNS are great private DNS providers. AdGuard and PiHole will block ads through various means.
Watch videos from Naomi Brockwell to learn more about all this stuff.