If you have a bunch of CAT5e lying around, use that. In the vast majority of cases, CAT5e or CAT6 Ethernet cabling will be more stable and offer less interference. With the need for a stable, secure, and low latency connection, serious gamers will espouse the benefits of a wired connection.

Routers built with gaming in mind, like this D-Link AC5300 Ultra, often offer more advanced features like QoS and MU-MIMO.