From few days begin to be available new modules based on the chipset ESP8266 that allows to do UART-to-WiFi at a sensational cost (about 5 EUR or 7 USD)! It is possible to communicate via serial to the module that takes care of all the connection management and data transfer using simple AT commands.
Finally it becomes possible to imagine sensors and actuators WiFied on 8-bit platforms like Arduino Uno or Leonardo, for a few euros. The first module that I’ve seen is from SeeedStudio.
Since there was no documentation of AT commands in English, I translated it and you can view it here.
Unfortunately it seems that no one at this time has got modules in stock.