I go wireless on desktops, no questions asked, unless there is a specific reason with the structure I'm working with that I can't run an ethernet line. My buddy for example lives at home and drilling anything is a huge no-no since the house was just redone and it's in great shape now, so he just uses his USB wireless card for connection, which isn't much of an issue due to the fact the router is right beneath him.
But if I can, I try my best to go wired. If not, there's no downside except a slight loss in speed and possible interference that can play a role.