The Raspberry Pi doesn’t come with integrated WiFi to keep costs of the board itself as low as possible. It does have an ethernet port but what fun is it having a media centre that needs a cable running from your computer room to the living room? For this reason I have purchased a USB WiFi dongle from ModMyPi. The advantage of course with this particular model is that it is tiny. Keeping the Raspi as small as possible is one of the reasons it makes for an ideal living room accessory.
Apart from size, another point to consider when purchasing a WiFi dongle is how power hungry it is. The Raspi needs a stable power supply and sometimes WiFi dongles can suck more power then they are suppose to, therefore pulling power away from the board and causing it to crash or corrupt your SD card. This dongle is (suppose) to be able to be plugged directly into the Pi without needing an externally powered USB hub.
A third but important factor in a WiFi dongle is what drivers it requires to be able to be used. This one uses the Realtek 8188CU Chipset. This chipset, among a few others, is compatible out of the box with most Raspberry Pi softwares including Raspbmc.
At a 15$ price point (yes 15$ exactly after exchange rates and shipping!) this makes for a pretty impressive wireless solution.
Cost to date: 84.76$