http://www.picbasic.co.uk/forum/showthread.php?t=14912

I can only talk about the Connect One modules. The wifi module will connect to your access point just as a PC does. Configure it to look for the SSID and give it the passkey.

I have not used these very much to talk to the MCU from the net but they do have a function called Serial Net for this.
http://www.connectone.com/?page_id=310

You can use these as a web page server, small, but they only work on port 80. This may have changed though. If I recall correctly, the Serial Net mode can use other ports.

They work very well for sending data via email or FTP.