In my experience:

I was running ZA and had everything set up perfectly the way I wanted it. When I got online to play Unreal Tournament 2003 my ping which was usually around 90-130 was up around 330-380 and it sucked big time. Thinking it was a ZA problem I uninstalled it and installed Tiny Personal Firewall with the same results. I assume this is because you are playing with up to 15 (16 counting yourself) players that the firewall is analyzing the data you are getting from them which is a hell of a lot in a big game. After I discovered that this was a problem (for me) I got a router and just locked the bastard down and uninstalled my software firewall. My ping went back to normal but I'm still not that good online in UT2K3 (lol). Like I said this is just my experience.