Both of these setups will work as you say. A wireless router will give you more flexibility but the main advantages are:
You won't need your PC to be switched on to access the internet from your PocketPC. I check my email (and PPC Thoughts) before I even get out of bed.
The router should give you some protection from the outside world as with the majority of setups it will probably be using NAT. Not quite a firewall but pretty good.
Makes it easier to add other PCs whether wired or wireless.
You don't say if you've already got a network in place. Obviously if you're already using a wired router you'll already have some of these benefits and could just buy a wireless access point.
Hope this helps.