What: Setup Wlan on a fresh raspberry without ethernet cable
Why: Fast and headless setup while still sitting on the couch
How: Use the latest raspbian image, provide wpa_supplicant.conf and ssh file
Download raspbian image
Download the zipped image file from here. I took the raspbian jessie lite.
Put the image on a SD card
Use a suitable SD card (mine is 8GB) and format it. You can use SDFormatter on Windows for that.
Afterwards, copy the image file to the card. You can use Win32DiskImager for that.
Setup Wlan and ssh
Go to the SD card drive. There should be a file called cmdline.txt.
Create a new file called wpa_supplicant.conf in the same directory like the cmdline.txt and put the following in (Update: The lines changed between Raspbian Jessie and Stretch, see here):
This step is taken from here.
Since december 2016, ssh is by default disabled in raspbian. To enable it, create a new and empty file called ssh in the same directory like the cmdline.txt. See documentation.
Start the raspberry
Put the SD card into the raspberry and start it. The raspberry should now be visible in your network and you should be able to establish a ssh connection via Wlan. For the first raspberry start it may take some time (3 min. in my case) but for further restarts the raspberry was available via ssh within seconds.