After hearing time and time again that a wired connection is essential to gaming, I finally hunkered down and drilled some holes (heh) and laid some wire.
Result: a small boost in upload bandwidth. Same ping. That's it.
Is this to be expected? I was hoping for a bit lower latency, but my ping is exactly the same.
Edit: title should have ended with "than wireless". Oops.
Ping is more related to how many connections you have to make from your computer to the server than anything.
You will get a slight decrease in packet loss, which can make the latency more predictable.
It's not so much about ping (though you should notice a slight decrease when switching) as it is about packet loss, especially if you're sharing a connection with someone. Typically, wired devices have priority over wifi devices as well.
That said, the change isn't always worth it for some people (like in your situation, apparently).
My computer is like 2m away from my router, but running a 10m (shortest they had, could have gotten away with 5m) ethernet cable made my connection feel a lot more stable, even though the wireless signal from the router isn't bad.
It depends on your situation. Wireless connections can suffer from interference problems caused by other access points on the same channel or near-enough, as well as non-Wifi devices that operate in the same frequency band (maybe a cordless phone or a microwave). This generally affects connection speed as there is more error checking required in an unreliable medium like wireless, but I don't know if that corresponds to latency as well, unless it's particularly severe interference causing totally dropped packets.