Hi Matteo,
are you aware that the ethernet-shield does not work out of the box with an Arduino-Mega? The ethernet shield pins are arranged for the Duemilanove-board.
If you don't have any specific project in mind that requires lots of IO and/or the extra memory on a Mega, the Duemilanove+Ethernet is a good start.
I also very much appreciate that you can replace the MCU on a Duemilanove board after spilling a cup of coffee over your external hardware :o (this is how I decided I need an external programmer too and no more drink and food at the desk)
Eberhard