Desktops tend to be situated in one location often next to a router and therefore are connected by cable.
Cable connection gives fastest possible download speed from your router/phone/ cable connection.
Wireless limited to for the old g type max 54mbs (never achievable in reality 20 mbs) the new n tpye routers are faster.
Fitting a wireless card is easy, fitting a wireless dongle is easier - just plug into a USB port.
Advantage of being built in - no work for you - under guarantee - saves a USB port.
Advantage of wireless over cable - PC does not need to be near router
Disadvantage - slower connection.