I just used a Belkin Wireless G USB adapter I had laying around for a wifi connection. You can't play online like xbox360 but you can download new content and get updates.
I think it depends on how internet works where you are. Wait!!!! I know that sounds strange but in the U.K. Our dsl modems are dictated to us by our isp. I got a wireless set up from my internet service provider which works well for my laptop Wii and D.S.
I have linked my Wii through WIFI and cable and can't say there is much difference in speed. If you have a wireless set up for internet then go for it. Other wise it may be an expensive replacement for a piece of wire. Do you use a D.S? If so wifi may be a good option as you can then take this online also.