I got the Linksys WGA54AG a+g adapter for 45 clams on sale at Best Buy. It seems to work OK. It connects to the ethernet port. It can be used with any other ethernet-equipped device if you configure it with their software, so I figured it'd be handy to have around.
I might get the MS one someday because it's so much neater - no wall wart, short usb cable, clips onto either the Xox or the HD-DVD drive.