Nordic has an ARM CM0 + transceiver in a single package. It's actually a fairly flexible architecture. You can run bluetooth on it (not 802.11, though). The software for bluetooth will take up quite a bit of space on the MCU and IIRC is not free, but it's available. Look at the nRF51822.
You may also look at the Atmel "Zigbit" modules which are and 802.15.4 transceiver + AVR in a single package. They're ~$20, but you'd need a carrier board of some sort. They have some dev kits available that may be suitable for experimentation in that price range. They're old AVRs (and old 802.15.4 transceivers), but they do work, and they're a hell of a lot nicer than 8051.
PIC isn't really much nicer than 8051. I'd say avoid it if you can.