I have changed WEP key on my router for security reasons. However, even after I deleted my wireless network from the preferred network list, and re-added it with the new WEP password, it would still use old one.
As I found out latter, the WEP key is stored in the keychain, and must be updated by using Keychain Access (in Applications -> Utilities).
Mac OS X Hints
http://hints.macworld.com/article.php?story=20060209012408712