| Typically, faster = better, up to what you can afford, but it also depends on the latency between you and the game server, not just the raw bandwidth number of your connection. Having an 8M ADSL connection to an ISP with an oversubscribed network who gives priority to business traffic may be worse for gaming than a 1.5M ADSL to a low traffic ISP with a backbone connection two router hops from the game server.
The reason I used those numbers is I have at work an 8M DSL to a national telco and a 1.5M frame-relay connection to a semi-public network. My ping times to game servers on the frame connection are 30-60 ms vs. 100-150 ms on the DSL (lower = better). The symmetricity of the connection can also be a factor. | 
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