hi ethan,
i think the linksys solution is the cheapest solution to get arduino on a wifi-network.
arduino only supports communivation over a serial line. but even if you'd find a serial wifi-adapter, the protocol to implement would be too big for the board.
i think that there are"adapters" wifi<>serial that are in fact small pcs running a kind of linux. and they don't come for cheap. that's why everyone uses the linksys routers, which are basically the same thing for less money.
bluetooth on the other hand was designed to be a serial cable replacement. that's why bluetooth would be the easiest way.
//kuk