Reading the specs, it seems, that WL-500gP or WL-600g are exactly the same, with exception, that WL-500gP has ethernet WAN connector, WL-600g has ADSL modem instead.
WL-600g: Having all-in-one you probably need a little less electrical power (and probably get little bigger CPU load in the router) and less space on your desk. But you are locked to ADSL/ADSL2/ADSL2+ providers.
WL-500gP+ADSL modem: Little more electrical power, need for external ADSL modem, both devices are little more expensive than WL-600g. But if you change provider (or provider changes technology), you loose only the modem. You can buy really cheapest modem with ethernet connection, because you need only bridge mode.
I decided to buy WL-500gP+D-Link DSL-362T.