How are USB WiFi cards different from PCIe or mini-PCIe cards?

1) Do you need to click "Connect" after every boot? Do you need to enter the WiFi password after every boot? Are there any disadvantages on using USB ones?

2) I'm now using a mini-PCIe card which works out of the box (no kext needed). Are there any USB WiFi cards that work out of the box? I need this for a new build (bought a cheap Optiplex).

3) If USB cards are crappy, can you please recommend the cheapest PCIe alternative?

Don't need Bluetooth, don't own an iPhone so continuity is not a must. All I need is WiFi connectivity.