Its all horses for courses.
The unit that Async use requires the tcp/ip stack to be on the microcontroller and is relatively cheap at £18.00 or so. and the stack is already built in to available libraries that you can copy from async.
The sparkfun unit has all of the TCP/IP stack onboard and you communicate via serial so all singing and dancing solution requiring very little on the microcontroller. And costs a little bit more.
again you should be able to use the sparkfun libraries for the wifly shield.
A USB based wifi solution may cost very little but a microcontroller could not implement the neccesary drivers.
Also the drivers will be proprietry and probably only available for windows. I doubt that they could be reverse engineered for the Arduino in any form.
Another solution would be an ethernet shield stacked on the arduino plugged into a cheap wifi router.
Ethernet shields are fairly cheap.
Thats going to cost more than the ZG2100 solution and more bulky hardware.
So as far as Ive worked out the cheapest solution for the Arduino would be the ZG2100 built on a prototype shield or custom Arduino board. At £18.00 plus a little bit for the other compnents I think that its a very cheap solution.
No PC in the middle or wifi router plugged in to the Arduino.
I think Ill have a go sometime to expand on my Arduino compatible board.http://scratchpad.thisandthose.org/scratchpad/article.php?story=20100715160140327
I think it would work out cheaper than the blackwidow to build for myself.