@Supermule:
May I ask why??
The geek factor? It does sound like a fun project, though I wouldn't want to run it myself that way myself. I would want it installed locally so I don't have to worry about the NFS server going down and bringing down the whole network since the firewall/router would go down as well.
In terms of actually getting it to work, try getting a regular FreeBSD machine booting via PXE first. I forget exactly how to do that, I'd have to check how I did it at work. Then just apply that to pfSense and it should work, unless the code that allows it has been removed.
Once again, on a firewall, I don't think I would want to rely on another server working in order for it to work.