I've only tried a cheap Zonet 2502 (or something very close to that) USB wireless thing..that model didn't have native Linux drivers, though the 2500 model (if I'm right; you can check that with a web search if you like) should have. For the one I had I simply installed the Windows drivers trough NDISwrapper, and after that it worked like a charm. Not a big deal - for Ubuntu there was a graphical NDISwrapper interface with point-and-click driver installation (the driver disk comes with the stick, or you can download the files from the internet). After the NDISwrapper drivers were installed (about one minute work), Ubuntu was happy to work with them, and the Network applet at the Gnome panel allowed me to select my wireless network, click on it, type a WPA password and connect without trouble.
It's not the easiest one I guess - easiest would be if the thing had native drivers that are mature enough not to have major flaws or lack of functionality in them - but it worked quite easily nevertheless.