It's hard to say no to a $4.50 wifi module.
The documentation wiki was a bit out of date when I got my set (it still is 11/20/2014)...
It claims a baud rate of 57600 or 115200, but if you scroll down you can see you can manually update your firmware to a version that defaults to 9600. Mine must've come updated because it was 9600 baud
I also noticed the TX and RX pins were REVERSED, I checked and double checked.
It's also hard to tell what pins are supposed to be pulled up or down, I finally decided to glop on some solder like they show in this picture:
Which seems to work, I've read it's overkill and you only need to pull up the chip-enable or RST pin (I forget).
Anyway, I was able to send the AT commands eventually and if you search around the blog-o-sphere you'll be able to find examples for pretty much whatever you'd like to do!
I'll post here with further experiments, I'm looking to make a solar powered wifi beacon of sorts... maybe have it serve up a simple static HTML/SVG page to any HTTP GET requests from connected clients.
Just saw this page for the ESP8266: https://nurdspace.nl/ESP8266 -- seems much more informative