I went through the same process with my IPAQ 2215 (with a plug-in wireless modem,which you won't need, having the 802.11b built in?), and a desktop running XP.
I found the Bluetooth was easy (intuitive) to set up but would only go through about one wall (desktop in the basement, connected to broadband) - not a drama, but not all that flexible.
I then took a (Netgear) wireless router and connected that to the ADSL modem (using a wired connection from the router to the desktop). The IPAQ can now talk to the internet via the router/ADSL modem, and the desktop via the router. The downside is I can't Bluetooth the desktop any more, but I put that down to incompetence. Also, its not a big deal since the PDA can share with the desktop using 802.11b.
Gut feeling is that the range is better with 802.11b, and its more flexible. Make sure your wireless router (the one that connects to broadband) has the latest software, otherwise the PDA/router wireless link may become unstable and crash. Also, pay attention to encryption: don't let the scum into your system.