How to make your own WIFI Gateway to connect your Arduino to IP Network ?

As so many people you think Arduino is a very good solution to do domotic and robotic ! But in term of communication Arduinos just come with serial links. I am working on a robot that need to be permanently connected with a server that runs artificial intelligence code. I tried to use RF network as I am used to do for domotic but it is not efficient enough. As the robot moves I can not use the Ethernet Arduino Shield. Arduino Wifi Shield are expensive and seems to me to be old design.”