Yep I do. And yeah I'd say you would, if you have a DSL/Cable connection, only because it makes things a lot easier. I mean if you don't have a router you have to unplug your computer from the DSL/Cable modem and then plug the PS2 into it. Anyway, I have a D-link wireless router (Model # DI-614+) only because I was lazy and didn't want to run a cable to my Dad's PC in the other room.
You don't necessarily need the one I have, a regular DSL/Cable router will do fine for you. A non-wireless router will generally run anywhere from 50 bucks on up to 150 bucks. I do know that both Linksys and D-link have a 4 port router that is 50 to 75 dollars. (D-Link model # DI-604; Linksys model # BEFSR41) I've used the Linksys 4 port non-wireless before and it worked very well for me. Anyway, hope this helps.