They all will work, actually. What you saw were routers for sale with CDs for quick installs on Windows systems. You can still use one of those routers, but the automatic setup features for security and configuration won’t work because the installation software only works on Windows.
Apple’s own Airport line of wireless routers offer automatic setup for Macs and OS X, but if you want to get a Cisco-Linksys, Belkin, D-Link, Netgear or other brand router, look for one that says on the box that it offers easy OS X setup.
If you can’t find a non-Apple router that offers automatic setup, you can manually set it up for OS X. Technically speaking, wireless routers work at a level that is beyond operating systems like Windows and OS X. Network protocols are mostly invisible to operating systems on PCs and Macs. They have to be in order to be reliable and compatible with all the PCs that are in use.
So if you want to try manually setting up a wireless router, it’s possible, but it will take some know how. All routers should come with documentation for a manual setup. You typically use a web browser to go to 192.168.1.1 or 192.168.0.1, which is the default address of the router, and there you will find the “control panel” for the router.
It’s best to Google for “manual setup” with the name of your router to find a tutorial, or go to the router manufacturer’s website and look for instructions.