The USB LAN is a direct connection.
The USB WIFI Connection is essentially the same as a wireless router.
The fastest, for the wii is the wireless router(if it is near by). If not then the LAN connection is second fastest (since it has to convert to USB), and WIFI Connect is the slowest(just in comparison). The speed difference is hardly noticeable in real time.
I have the USB WIFI Connector(unofficial one I picked up for $10, which acts the exact same way as the Nintendo one, but this can go on X-Link Kai if I wanted to), and a wireless router.
I use the wireless router, since it saves RAM from my PC(although the USB WIFI Connector doesn't take much away). But this way I don't need my PC on all the time.