I was getting a message that said there was unauthorized internet access on my my laptop while using wi-fi, so I hooked up to ethernet as well. My over 10 year old tower wasn't too healthy anyway so the laptop is now the desktop.
As long as your computer is near enough to the Ethernet port, I think it's a good idea to plug into it. I normally use my iMac and I have it plugged into the Ethernet port. I don't see a huge difference in my connection but it makes sense that a wired connection would be more stable.
I have that nice yellow Ethernet cable that connects my Modem to my PC. No Wireless for me! Hard-Wired Hal