Not included. Use external module, eg. ENC28J60 (dominant and open source drivers for ~all platforms) which is cheapest, SPI based and 10M limited. For higher throughput look at Wiznet modules or bigger MCUs with MII/RMII which gets much pricier - with low end MCUs you can't generate or process that much data anyway.

Thanks! I didn't know the ENC28J60 could be that cheap. I had seen it in the past but it was always 10-15$ and with a microcontroller, that made it quite expensive. Next time I order a bunch of ESP8266 from China, I will add a bunch of them too.

To get a sense of realistic prices use 1000 piece quantities quoted on electronic component stockists in Guangdong such as http://lcsc.com (or via https://jlcpcb.com/quote#/parts which is a significant subset thereof) and http://hqchip.com (but avoid the red=import results). For a popular component such as a network module, roughly assume chip cost plus 1-2RMB for the PCB, resistors and socket and assembly. Same approach works for microprocessors.