How do I interface an XBee wireless module with the Uno?
Xbee modules have a slightly non-standard pin header layout, i.e. two rows of pins with 2 mm pitch (separation between centers of adjacent pins) instead of the more common 2.54 mm pitch used in the Arduino itself. 

Therefore directly connecting the XBee to the Arduino such as by plugging it directly in, is not possible even if the header pin rows were spaced sufficiently apart to match the header rows of your flavor of Arduino.

If jumper wires are used, then yes, the Arduino can directly interface with and fully use the XBee module: There is no additional electronics required to interface with the hardware of the module. 

The pin connections required are:

XBee                Arduino
------------        ------------
 VCC or 3.3V         3V3
 TX or DOUT          RX or 0
 RX or DIN           TX or 1
 GND                 GND


The addition of an XBee shield, or more usefully one of the various Sensor Shields with XBee footprint socket, is useful in creating a more robust set-up, not fragile as jumper wires are prone to be. 

Notice the XBee headers on this shield for instance:



(source)

An added advantage of using such a shield is that 2mm pitch headers are not as easily available as standard 2.54mm ones, and when they are available, they work out quite expensive. The shield illustrated above, on the other hand, is for under $8 on eBay, and might be available for even less elsewhere. 

Small price to pay for convenience, perhaps.