I've set up various large LAN parties involving multiple consoles (once with ~12 Xboxes for a Modern Warfare 2 party).
If you're only hooking up two consoles, you can generally get away with a "crossover" Ethernet cable hooking between them. A crossover Ethernet cable is wired differently than a standard CAT5/6 Ethernet cable, and is designed to directly connect two devices. This is probably the cheapest solution, a quick trip to Amazon or Monoprice will score you one of these cables for a couple of bucks.
That said, you could try hooking up the two consoles with a standard Ethernet cable - some Ethernet hardware is capable of detecting and auto-switching internally to a crossover mode. There's no risk to your hardware - if it fails, the network just won't work.
If you've got a router, even if you don't have internet access, it's still worthwhile to hook both consoles up to it. Routers have built-in services (DHCP, chief among them) that make setting up a small network much easier. There's no need for crossover cables here, just use standard Ethernet cables instead.