I agree w/ Emerald. Besides the obvious advantages of being able to choose a router that better suits your needs independently of the modem (they really have much different requirements), something ppl don't always think about is reuse or resale. A combination dsl modem+router doesn't expose a WAN port, making it virtually worthless for reuse purposes, and by extension, limiting its resale value. I've seen it time and time again. Someone buys one of these combo devices, moves to cable or requires a new DSL setup as the result of a move, whatever, and then asks in this forum how they can reuse the old combo device. Then we have to give them the bads news.
Admittedly they are convenient, and have a smaller footprint, but as always with anything that increases convenience, you usually take a hit somewhere else in terms of features, security, reuse, etc.