It seems to be a question of ease of use vs. versatility. With a router, you, well, you have a router, but you have to do the setup for the router, and then the setup on the DS. With the USB connector, it's a one-time install off a CD and you're good.
Having no want or need of a router, I'll opt for the USB. Given that, if you give me a few weeks I can give you a first-hand account of how it works.