I must have been lucky - all the USB wireless dongles I've used have worked well. Don't know why your Netgear WG111 doesn't work, I would take it back. Mine has worked well and so has a friend's - both with the router you mentioned. I also have an Asus WL-167g as a spare (came from a local computer shop) and it works well.
As fo3nix says, for a laptop, you might want to use a PC Card in the PCMCIA slot - I use a Netgear again, the WG511, on a laptop with no built-in wireless - works fine.
A bit more expensive (if it's still available) is the D-Link DWL-G730AP Wireless Pocket Router which I bought for going to seminars and conferences. It can act as a router in the hotel room or the meeting room and let others access the Internet wirelessly (or let me sit in an armchair or on the bed instead of at the desk) but it can also act as a USB wireless adapter (there's a third mode which I haven't used).
This solved the problem of USB dongles on an older Mac iBook which seems to have problems with most USB dongles.
Happy hunting!