Some things to be prepared for:
- you'll be cross-compiling. The embedded device will use a MIPS, PowerPC, or ARM CPU but won't have enough CPU power, memory, or storage to compile its own kernel in a reasonable amount of time.
- An embedded system often uses a serial port as the console, and to lower the cost there is usually no connector soldered onto production boards. Debugging kernel panics is very difficult unless you can solder on a serial port connector, you won't have much information about what went wrong.
The Linksys NSLU2 is a low-cost way to get a real embedded system to work with, and has a USB port to add peripherals. Any of a number of wireless access points can also be used, see the OpenWrt compatibility page. Be aware that current models of the Linksys WRT54G you'll find in stores can no longer be used with Linux: they have less RAM and Flash in order to reduce the cost. Cisco/Linksys now uses vxWorks on the WRT54G, with a smaller memory footprint.
If you really want to get into it, evaluation kits for embedded CPUs start at a couple hundred US dollars. I'd recommend not spending money on these unless you need it professionally for a job or consulting contract.