So I just purchased the linksys WRT54GL router which has really good consumer reviews. However, I have been doing more research and have learned about .N routers. Are they truly that much faster and better? What I do is download movies, games, music, stream video (netflix), and just surf the web. Would these abilities be sped up by getting a .N router? I know that I would have to get an adapter for my laptop. So based on all this, think I should just pay more for the .N routers?

Remember your connection is only as fast as the SLOWEST part.
So unless you have a 100 mbps+ connection to the net you won't notice any real difference. Even the more normal wireless G connection will exceed your broadband.

One of the main advantages for N in a domestic setting is the higher broadcast power, and so a more consistent connection is easier to achieve.

Do you think I should return the router and pick up a N one?

It's really not worth it for the added premium.