If your using windows...good luck. I haven't been able to do anything interesting with windows and you have to buy a specific card to get it to work. Google up Airopeek and thats pretty much it when it comes to windows wifi sniffing. It's a pricey product, but Airsnort works with it, so I'm not sure if Ethereal can be rigged to work with it.

If your using Linux, your options are alot more open. I'd recommend looking for a Dlink DWL 122, as I've had good luck using it. It's a USB wifi adapter based on the prism2 chipset and it's around $10-15 used. I'm almost positive that if you buy one, it will work using WLAN tools. Good thing about the DWL 122 is that Dlink didn't change chipsets with it. You have to be careful with Wifi cards, just because it's the same model number, doesn't mean it has the same chipset.

With the card above, it's a B only card. It won't do G. I haven't followed up with wifi sniffing but I think it's only possible on B at this point. Things may have changed in the past 6 months to a year.

The card above uses WLAN tools and is fairly easy to set up, configure and use. Don't be scared of the command line.

A great Linux LiveCD is Auditor, which is a nice collection of security tools. It supports wifi card for this purpose. I say burn some bandwidth and just try it out. Your card may work right away.

Anyhow, with the proper card, and the right linux driver you can get the card to go promiscuos. Then you can capture with Ethereal or whatever your heart desires.