Other than some of you Evo 4G owners, most of us are still using 3G for data. Either way, you may not have a useable signal in your house or office. So, connecting to wifi networks is a great way to solve this issue. You will get faster speeds (typically) and you won't use any data from your carrier's data plan, which is especially good news for you AT&T users.
Connecting to wifi networks is easy, just goto Menu > Settings > Wireless and Networks > Wi-Fi Settings. From here, you can see avaliable wifi networks, and if they are password-protected. Any time you join a network, it will be saved and your device will join it automatically the next time you are in range. To forget a network, just click or long-press on the name and select "forget." Doing this while you are connected brings up some great info, like speed, security, and your IP address.