Wireless connection

Hi Folks,
Looking for some advice on setting up a wireless connection. I have a
laptop (no desktop) which is wireless enabled and as I understand it I need a
modem/router which is connected to a broadband connection. I should
then be able to connect online wirelessly.
How fast is a wireless connection in relation to a wired connection.
Any major disadvantages? Best modem/router to buy?
Thanks in advance, any help appreciated.

Dougie