Since your AT&T coverage is going to be EDGE/GPRS rather than 3G, your connection speed is going to be significantly faster on a Wi-Fi network. If you have a wireless network in your home, office, or free Wi-Fi at local businesses this would be the preferred way of connecting. Books download very quickly though, in less than a minute on 3G, so we're not talking hours instead of minutes for the EDGE/GPRS downloads.
Connecting to a Wi-Fi network should be no more complicated than connecting with a laptop, especially one with a recent OS like Vista or Windows 7. Once you are connected to a Wi-Fi network the Kindle will remember that connection and connect to it automatically whenever you are in range of that connection so this should mean a one-time process to connect to any Wi-Fi network in any place that you frequent.
On previous Kindles Amazon used Whispernet to refer to either their Sprint or AT&T 3G connections. With the introduction of Wi-Fi, Amazon is referring to Wi-Fi and 3G collectively as Whispernet, with Wi-Fi being the default connection and 3G as a backup.
