Wi-Fi isn't exotic in printers any more: Kevin Savetz writes that he's found the cheapest printer with built-in Wi-Fi: the Canon Pixma iP4000R [Amazon.com link: $199 with $20 rebate]. It supports WEP and WPA with supplied Windows software, but the online help for Mac OS X shows only WEP support there.
The HP PhotoSmart 2710 ($360 to $400) has many functions, but also includes Wi-Fi for cable-free connections. You can even enter the encryption key for a protected Wi-Fi network directly into the device; it took a little digging on HP's site, but the device supports both WEP and WPA.
Savetz also notes a couple of Wi-Fi printer adapters, but both failed at allowing Mac OS X systems to print while he had success with the Canon and HP printers.