Today it seems IoT being all the rage you'll quickly want to add some kind of wireless connectivity to every device you make. Quick search through your favorite vendor's site finds dozens of different all-in-chips for just few dollars, so great! Just slap it on your board with antenna and you've got a product!
Okay, let's stop here. It's not that easy. Or it kinda is, but there is a serious gotcha there that might become veeeery expensive later. I'm mostly writing from European perspective here, but same things pretty much apply on the other side of the pond too.
If you want to sell, well, just about anything electronic in Europe it absolutely must have CE marking. Note however that I said marking, not certification - there is no such thing as CE certification in many cases (notable exceptions being anything that deals with money or safety-critical systems.)
CE marking alone is nothing but manufacturer's promise that device is okay and fulfills any and all relevant regulations. Depending on device other directives apply, I won't go into too deeply in details of most things here. Oh, and I am definitely not expert either so take all here with grain of salt - I've had to do a lot of studying of these topics though...
For most electronics with any kind of oscillator directive 2004/108/EU (EMC) applies. That essentially says that device may not emit too much radio noise, and it must tolerate some some from outside. (I'm simplifying here a bit for brevity). Then there's also regulations for batteries, disposal (WEEE), devices that run on higher voltage (LVD) and so on.
But back on topic of radio modules, important directive is 1999/5/EU (R&TTE) which regulates radio devices. And here things get nasty. If you just slap chip and antenna on your board, you essentially will have to do full compliance testing for the device before you can sell it. Needless to say that costs some serious money, so the 2€ chip with 10cent antenna just became a lot more expensive.
So what happens if you don't? Well, often nothing. No one notes, no one cares. But if you happen to make mistake in your design and your device (which you just delivered 50+ units all over Europe) emit some nasty spurious RF signals on, say, military or aviation bands? Now you are in some serious trouble...
So for many small-volume products pre-certified RF module might, while expensive up front, be actually cheaper option (BT/WLAN modules start from 20€ or so; personally I like
BlueGiga parts a lot as they have proven to be very reliable in my use, unlike most phones that crap out the second device drops out of range). Pre-certification here means that entire things comes as standalone module, antenna an all, already having all necessary certifications (ie, say, WLAN compatibility, R&TTE, FCC equivalent and all others). You can just slap the unmodified (that part is very very important!) module on board and use it. Just make sure that the module actually IS certified, many cheap parts aren't although they claim so. Manufacturer must be able to send you relevant certifications. Also modules tend to have things like built-in TCP/IP stacks and other nice things that makes your life so much easier too.
Of course already mentioned EMC and so on directives still apply but testing for those is way cheaper than RF stuff (your local university might have EMC lab willing to do EMC testing for 1000€ or so. They might not be accredited, but results are still often good enough to show that device is okay for sales so if you're feeling cheap it is possible to slap CE there and write Declaration of Conformity and go on for sales. Not that I recommend that, especially if you are just getting started - consult an expert (ie, not me!) first. But make sure that your expert doesn't have ties to any large testing lab - they tend to have strong bias on their recommendations for some reason.