Has anyone done this? Which dongles work? What modules do I need loaded?
Assuming there is source for the linux drivers for the dongle you select, then there shouldn't be too many problems - you could try looking in the feed (in the machine specific parts) to see whether a given driver is available (after you know what the dongle needs) - even if it's not, it shouldn't be too much effort to add it.
I'd also look in the other parts of the forum to see what other people have been using, but bear mind that OZ uses the 2.6.x kernels so make sure any drivers are supported by this too (chances are they will be).