Would you like to use your Pi as a WiFi router? Or maybe have it as a special filtering access point? Setting up a Pi as an access point (AP) is a bit more advanced than using it as a client, but its still only a half hour of typing to configure. If you want to, this tutorial will make it so the Pi broadcasts a WiFi service and then routes internet traffic to an Ethernet cable. Since its all Linux you can go in and update or configure it however you like.
I used the following pages as a guide to create this tutorial, please note many of them will not work completely, but check them out if you are interested!
Currently tested working on Raspbian only, with Jessie and up to Raspberry Pi 3