what should I choose for a “simple” project like that ?
What kind of robot do you want to build? A 6 foot tall walking humanoid robot that can ride a segway is quite a different project from a line-following wheeled vehicle.
How much data do you need to send to the robot? Over what distance? How reliably?
What is your budget?
Generally, shields simplify a lot of the logistics of connecting hardware, so a shield-compatible Arduino is a better choice.
Ethernet requires a wire. WiFi, bluetooth, XBee, and cheap 433 MHz radios do not.
WiFi has connection and reliability issues. But range is good, though the client/server nature of communication can be a difficult concept for people with a background in networking.
Bluetooth generally has range issues, and a LOT of people have trouble with even getting two bluetooth devices to talk (often from assuming that two slaves will communicate).
XBees are great, though they are not cheap. They would be what I would choose. Good range, very reliable, and the easiest to get communicating. IMHO.
433 MHz radios are cheap, but range can be a problem, and the Arduino must do all the work involved in sending and receiving data, dealing with missed packets, etc.