I've been using one for the last two years - my uncle bought it for me when visiting from Russia.
The advantages, to me,, are double:
1. Once you set up your router, you no longer need to put in a password and username, the machine remembers them.
2. I have a laptop, and my father is constantly plotting to buy himself a new one since he broke the previouis one. A wireless router is the simplest and least painful way to connect all your computers to the Internet.
IF you just have one computer I don't see much point.