This post is for archiving purposes only. I nowadays developed WiFi application with the Particle Photon. An affordable (around 20 euro) Arduino like board with WiFi and Cloud.
Using WiFi in combination with Arduino is still pretty pricy. The Arduino WiFi shield is sold for 70 euro. Another cheaper solution is the WiFly.
A wireless chip including a microprocessor from Roving/Microchip that costs about 25 euro at Farnell. You can even use it standalone, to post sensor data to a webserver for example. With only 4 wires (RX,TX, 3.3V and Ground) you can connect it to your Arduino (I used a protoshield).
I’ve tested it in combination with the Arduino Leonardo, because the Leonardo has a separate hardware serial port (Serial1) and a serial port (Serial) for debugging (with the Serial monitor in the Arduino IDE).
I came across a library made for the Seeedstudio WiFi board and forked it. This library makes it easy to use the WiFly commands as mentioned in the WiFly manual. I’ve modified some examples to use it with the Arduino Leonardo or the Helios Gadget. The Helios is developed by KITT Engineering as a free-give-away for the Electronics & Automation exhibition. It’s basically an Arduino Leonardo with a WiFly on the same print (including some onboard sensors and actuators).
You can check out the WiFly communicator library on Github.
Check out the pretty good WiFly manual on the Microchip website.