I use a Linksys Wireless-G Broadband Router (WRT54G), and it works great. I advise against connecting directly to the modem, unless you want to get hacked, or get a virus. If your going to connect directly to the modem, make sure you enable Windows Firewall!.
Update the routers 'firmware' whenever you get a new one.
http://www.linksysbycisco.com/CA/en/home