For some time, I've left my router on unsecured Wireless.
Unsecured, because two of the devices in the home (My brother's NDS lite, and the Wii) refused to connect to it while it was on WPA/WPA2 security. WEP wasn't considered at the time because no one understood what it meant, but things are different now.

Instead of leaving it completely unsecured though, I took down the MAC addresses of all computers that connected wirelessly, and using the internal settings page (It's a netgear one you log into from internal network) told it only to accept connections from those MAC addresses.
This has only ever given us trouble when adding a new device to the network, even then, only a minor inconvenience.

Now, however, I'm not as certain that this is the best solution.
Should I leave it as is, unsecured with this kind of trusted device only setup in place?
Or should I do the same and add WEP encryption on the top?
WPA and WPA2 I'd still prefer to avoid, since as said, certain devices have had issues connecting under those.

No encryption: door wide open. Anyone can connect and read your packets. So if you send passwords that are not also over HTTPS...
WEP: a one-foot concrete wall: stops mice but no one else.
WPA: A seven-foot concrete wall: quite difficult to get over
WPA2: A twenty-foot concrete wall with barbed wire: no known general attacks (I'm not counting the recent "Hole 196")

WEP and your MAC whitelist are better than nothing, but not by much.

It would seem the problem then lies with getting WPA/2 to work with the DS and Wii, then, but unless a recent update to the Wii has changed it, neither can manage that, WEP, but not WPA/2

WPA works on our wii, it shouldn't be a problem with newer software.

MAC whitelisting can be bypassed by someone with half a brain and a Linux Live CD, as can WEP. I know, I've cracked both.

WPA is pretty much impossible to crack anyway, WPA2 is just there for when someone finds a weakness in WPA. So far the only way to crack WPA is bruteforce, and that would take thousands of years

Well that's unusual... I can't find any option to use WPA/2 on my Wii, only WEP. I'll have a look again though, see if it's changed...

And I know it can be bypassed, but I know my family and neighours, and none of them are technical enough to know how to do it, let alone what a LiveCD is. Even my parents don't get what Linux is half the time, and one of them uses it all the time still.