It depends on you. I'm a very addicted UT2k4 for the PC player... I simply couldn't adapt to the slower style of Halo/2 on XBL. Movement was slower, dying causes you to wait a few secs to run back to where you were (slowly)... I just couldn't deal. It wasn't a matter of keyboard/mouse either.
For online gaming, I'll stick to the PC. I dumped XBL after the 2 month trial. I think I had the urge to log in about 5 times during that period. I used it to get roster downloads for my sports games, but that was it. Oh yes... I played NHL2k5 on XBL... the slight delay (not really lag, just not instant) was not very comforting either. Again, I couldn't deal.
EDIT>>> Maybe if a fast-paced open environment game like Mercenaries were XBL'd, the experience would be completely different.