While this is true, I sometimes experience "hiccups" while playing my friend over Lan. It's nothing big and it may just be the router but it can be enough to mess you up. Plus, I still think it is much easier not having to deal with two computers.
That's true, if you need to be on a router, that does introduce another player to the game (so to speak). Routers generally have a small amount of overhead that can cause that "hiccup" now and then.
If I were to set up two machines side-by-side (in the same cab, or back-to-back, or whatever), and
only two machines, I'd just run a short length of Cat6 (these days, it usually doesn't even need to be a x-over cable). I doubt there would be any noticeable lag, although there's always a chance. Any more than that, and you'd want to go with a switch rather than a router. A hub would work as well, but after 3 machines, I'd start worrying about collisions.