I have an Asus pocket router, not a linksys, but I think they are roughly of the same size. Mine is approximately like a 20-pack of sigarettes or thereabouts (I don't smoke so have no access to a physical comparision..)
It comes in a little bag that makes the whole thing slightly bigger. But the only essentials is a very short ethernet cable and an equally short power cable, so it can be powered directly from an USB port. It also includes a small normal power adapter, just in case. Very handy. The concept's been discussed in earlier threads if you go back a bit, try searching for travel router or pocket adapter or some such if you're interested. In any case it boils down to 'very useful'.