Well, I'm by no means an expert in the embedded arena, but I did, however, read a book once called Embedded Linux. I can't find the author at the moment, but I specifically remember thinking how easy exactly such a device would be to make.

Here is a link to amazon with books on the same subject.

Here is a website on the subject. And here is another.

I definately think that embedding would be the way to go. Another thought I've had on this is rather than try to compromise the physical security of a company, all their WAN data is going to be headed out of leased lines, and phone pedestals outside are rarely secure. Pop the pedestal, insert device, and walk away. I don't know how much you know about telecommunications...but I would think an effective embedded device could be built into a standard butt-set. That way, when the phone company comes out to work on the pedestal and discovers your device, they'll think it was just left there by an absent-mided repair man. For that matter, DMARC's are often co-lo'ed with MDF's. A butt-set might be pretty inobtrusive there as well. Or if you get really small...a tone generator. Hmmm....I'm getting new ideas already.

As far as trying to sniff a Wi-fi network....tosh. Too easy. An embbeded 'black box' (home made and cheap) and an AP in the plenum space. The expensive part would be the recording device outside the premises to log what you intercept. A laptop will suffice with you in the parking lot for periodic monitoring, but for 24/7 snooping you'll need to get a bit more creative.