There are two general classes of wireless cards that we are interested in: desktop wireless cards that plug into a PCI slot and laptop cards that plug into a PCMCIA slot. Very few USB WiFi adapters have an antenna that you can replace, so I will not be going into detail on these. For the ones that do, they're very similar to the desktop PCI cards.
We are interested in PCI cards that have an antenna that you can screw on or off. Linksys, D-Link, and Netgear all make these cards and you can buy them pretty cheap at places like BestBuy and CircuitCity. If you have one of these, there is nothing you need to do in preparation for this.
We are interested in PCMCIA cards with a small slot to plug in an external antenna. Most of the cards you can buy at places like BestBuy and CircuitCity do NOT have these! Laptops with built-in WiFi also do not have this necessary connector. There have been some home-brew projects which involve soldering on a connector, but if you have one of these, I recommend just getting a new PCMCIA card.
There are several companies that produce these types of PCMCIA cards, but the one I recommend is manufactured by a company called Orinoco. You can pick up an Orinoco Silver or Orinoco Gold card for under $40 now, and I think it's a great investment for people that want the most out of their laptop's WiFi capabilities. These have a small nub at the end of them, which you can remove to expose an antenna connector.