You could also buy an NodeMCU (http://nodemcu.com/index_en.html) if you don't like soldering. Personally without a formal electronics background or great soldering skills, I had not a lot of problems with setting up the ESP8266.
But I do agree that out of the box it's less "plug and play" as an Arduino.
The ESP-01 (which I started with) is quite painful to program, though - it uses a bizarre baud rate (78k?) and shares its GPIO with its programming pins.
I'm a software guy and had never picked up a soldering iron in my entire life. I managed to get my first esp8266 (the adafruit huzzah) soldiered to a little temp/humidity sensor on a small permanent breadboard (not sure the exact name) and had it pushing data into my home graphite server. Took me all of 2 days start to finish.
But I do agree that out of the box it's less "plug and play" as an Arduino.