Is there any way to connect your arduino through wifi cheaply? I know a fairly cheap way of making an ethernet shield with the Microchip ENC 28J60. I noticed that networking solutions are signifigantly cheaper if they don't have an in-hardware TCP\IP stack. So is there any sort of cheap arduino supported wifi chip out there? 
The cheapest (also complicated) way is probably to get an old Linksys WRT router off eBay for a couple of bucks. Those things have serial ports that normally don't have a connector on the board. So solder on a serial connector and connect it to the Arduino's serial. Then slap OpenWRT (Linux) on the router and write a small program that channels data over serial.
It doesn't have to be a Linksys, openwrt.org has a huge list of routers that run OpenWRT and have a serial port.
Edit: This guy did it just the way I described: Wifi Robot - JBProjects.net
How about the cheap and easy way? Another question is, could this wifi connected to the internet? Because....
My purpose is to make a project that could be controlled via internet using a software interface ( build own using C#) with PC,laptop or hand phones via internet.
Thanks on advance.
Try an Asus WL-520gC/gU router. OpenWRT works great on them and soldering on the 4 pins for a serial connection is very easy. They are also very cheap, only about $30 USD (for the gU, which doesn't have a USB port).
Not only do you get very flexible wifi options but also an entire Linux system for collecting data with, etc. The serial connection can then talk to the Arduino using whatever custom protocol you might want or something like Firmata.