Whjile Ethernet cabling offers the fastest connections, it simply isn't practical for many of us. Those that live in older homes, or apartments or other dwellings where we don't have carte blanche to go drilling holes or fishing wires. For us, wi-fi has been an absolute godsend.
I've been running a wi-fi connection to my AppleTV for a year now, with excellent results. One change I made recently, that I wish I'd done a lot earlier, was upgrade to a 300M class wireless N router, replacing an old Linksys WRT-G unit.
Its always difficult to rationalize replacing a piece of hardware that is working fine, but in the case of the Router, it was the right thing to do. I tested transfer speeds, moving a 500 mb test file between my iMac and a Western Digital NAS device: Transfer times went from 4.2 minutes up/ 2.5 minutes down to just over a minute in either direction with the Wireless N. A 400% increase in upload speed. Signal/Noise ratio and strength have also improved dramatically. (My wi-fi only iPad now gets notifications while my car is still in my driveway...)
I never had "problems" with the Wireless G router. But I did notice the occasional lag or stutter. Sometimes album art display took a while to catch up. Such issues have disappeared with the Wireless N router.
So, Yes: If you can go the Ethernet route, by all means do so. But if not, you can get excellent results with a wi-fi setup. But be sure to go with a decent Wireless N router.