It doesn't really matter, since the real limiting factor for online gaming is how fast your connection to the Internet is.
Ethernet maxes out at 100Mbps, USB 2.0 has a maximum (theoretical) of 480Mbps, and in any case, more 802.11G LANs max out at 20-25Mbps throughput.
Honestly, it shouldn't matter, though the MS 360 adapter is $100, there's a third party one that is B/G only that I've seen at BB for $80 (from Datel), and the wireless B/G adapters from Linksys, DLink and Netgear all end up being somewhere around $60-80+. The MS Xbox adapter is $99, though you can find it cheaper around the Internet. EB & GS had them used for $20 a while back I think, though I don't think they're around anymore, and I think it was B&M only.
IMHO, as long as you have a 802.11G network, you should be OK with any of the options.