Sean (one of my hardware tech buddies) pointed me towards this article, which discusses wall warts in detail, along with a project to safely add voltage regulation and filtering to an inexpensive plug-in power module.-40hz
That article is for your basic transformer style plugpack. The circuit that is detailed is normally, (just to clarify - if the manufacturer wants a cleaner supply he may incorporate a simple switchmode design in the device itself but generally a lot of equipment uses basic linear regulators, eg. 7805, 7812, etc), what you find connected to the power input socket of the device - so in effect you are connecting another circuit that's the same in series.
The only problem with that is you've just disabled the internal voltage regulating circuit of the device. The regulators mentioned in that article require
at least an input voltage 1.2V above the required output voltage in order to regulate correctly otherwise they just drop out.
eg. If your device requires 12V DC there will typically be a 7812 regulator connected to it's input power socket - it's relying on the normally unregulated voltage provided by the transformer plugpack of around 16V DC allowing it regulate correctly.
If you build the circuit as described and set its output to 12V DC and then plug that into your device, where does the internal regulator get its required voltage drop in order to regulate?
I would say he has success probably because of the extra filtering he's added by way of the capacitors.
Switchmode PSUs are self-regulating and don't require it, they only require the requisite load for regulation - and the latest versions don't even require that.
EDIT: Also note that article is from 2005, switchmode plugpacks have become more prevalent in the last 2-3 years.
Addendum: @
raybeere: If the PSU is indeed a switchmode type, (they're generally lighter than transformer types is the easiest way to tell), then you should change it for the same type with an equivalent rating if you intend to. The unregulated output from a generic transformer based PSU might damage the router, (unless the replacement specifically states it is regulated).