It really depends. Where I am, the best connection I can get is 5Mbps which is a sad sight from the ~50Mbps that my wireless router supports. Even accounting for latency, walls, packet overhead (you'll never even get 45 on G wireless) that means my bottleneck is going to be my service provider by an order of magnitude.

And this is the case for a lot of people. Unless you're pushing up to 30-40Mbps connection then you're not going to get much difference from either. If you are lucky enough to have the really fast connections though you'll want to use a wired connection (or Wireless N if you have it).