I’ve bought two zigbee modules from sparkfun: http://www.sparkfun.com/products/8665 and I want to connect these modules to my Arduino boards without using the shield.
Do I only need to connect VCC, GND, RX and TX pins which are present on the zigbee modules to my Arduinos or do I have to connect any additional wires?
In the datasheet, there is written that minimal connections are VCC, GND, DIN and DOUT.
Those pins are indeed the minimum. RX needs to go into Dout, TX into Din. But if your arduino is a 5v board then you need a voltagelevel adjuster to 3.3v (see Sparkfun’s sensorinterfacing tutorial), and a regulator that puts 3.3 on the Vcc pin of the Xbee.
note the difference between the two product lines from Digi. They look similar.
XBee series TWO run the ZigBee protocol stack and you need a user profile (same as happens with Bluetooth, 802.15.3).
Series TWO use a chipset from Ember and licensing says it runs ZigBee.
XBee series ONE do not run ZigBee and can run 802.15.4 alone (most popular), or DigiMesh.
Series ONE use a Freescale chipset and licensing says it may not run ZigBee. But most hobby/educational/robotics don’t need/use/want ZigBee’s complexity and instead use 802.15.4.
I believe the product URL you show above is for a Series TWO product.
There are many XBee breakout boards on the 'net. SFE has one with a flawed 5V level converter scheme. Others on the 'net include the XBee Simple Board widely sold.