Why bother buying a DSL modem/router? Because the Motorola DSL modems AT&T gives out suck. There's also a more involved explanation at What is a DSL Modem. Here's a short comparison of several available brands of dsl modem / routers.
Netgear - a really nice dsl router, but the configuration is pretty technical. The one I saw had support for a USB disk, so it can also be a file server. Overall, it's kind of challenging to set up - meaning you need to read instructions - but other than that, a nice unit.
Zoom - tried the wifi dsl modem router and the regular one that has only ethernet. The configuration is pretty technical. The "auto" config tool doesn't really work on the wifi model. Not good for newbies. The wifi router seems pretty nice, but the user interface sucks. I like that the ethernet ports have lights.
Actiontec - the easiest setup of the three dsl modems, by a long shot. That reason alone makes it the winner for the masses. They have terrible aesthetics with the case, but the software is quite nice. They hide the gory details, but you can still get at them.