In my personal experience, they performed absolutely the same. I couldn't tell you the difference between them for playing shooters and other fast-paced games.
However, when I was using the USB WiFi adapter it would occasionally drop the connection to my router and I would have to unplug it and plug it back in to reconnect. So if you have the option try to get a PCI WiFi adapter.
I used: Lynksys AE1000
I now use: Rosewill RNX N300X