Just in case you have a computer or laptop nearby with a wireless connection already (like me):
You can enable Internet Connection Sharing on your Wireless adapter (turn it on while you're not connected, otherwise it spurts an error message, at least for me). After you enable it, connect an ethernet cable to your wired connection port (you should have one, if not, PCI NICs are dirt cheap) and give it a go. It works like a charm from my computer to my 360.
Of course, not everyone has a computer as nearby as I do, but hey, it works. Also, I haven't done any gaming on 360 (waiting to re-up Gold membership for Halo 3), so I can only attest that this works well for general Marketplace downloads. The downloads are decently fast coming from a 802.11g card, through what I assume is a 100Mbit connection through the wire.
EDIT: Didn't notice martinl's mention of the bridge. That might work too, I've never tried it. Also, this does NOT work to stream video or other material through the network, unless it's on the computer you're connected to. All other network computers are not able to be seen through a connection share as I described. (But through the wire it works great!)