Most games on all 3 systems use Peer-to-Peer connections. This means that instead of the company using a dedicated server to host games, the user has to host games themselves with their system using their own bandwidth. This generally is a poor way to host games since most people don't have the upload speed to handle large scale multiplayer games (Which is why you often find these games limited to 8-16 people)
Now, because the user has to host games themselves, location becomes a key factor. The closer you live to your host, the faster you can send/receive information about the game. This is where XBL has an "advantage" If you look at the demographics. Most people that own Xbox live in North America. With locations in Europe also factoring in. Whereas with the PS and Wii users, the userbase is spread out all over the world. This means that for Peer to Peer connection games, youare more likelybe connecting with someone on the other side of the planet which will significantly increase latency. Whereas for XBL, you are more likely to connect with someone who is geographically close to you.
So lag really has nothing to do with the 50 dollar a year annual fee for XBL or any service it provides. (Although I do find it funny thatsome people are actually paying another company to host their own games... it's kind of like a slave paying his master for the right to work 12 hour days in a field somewhere. )
This is why dedidcated servers are important. Dedicated servers allow you to set up hosts in geographic regions, so you will always connect with a central host server that is geographically close to you. Also, these companies can afford high bandwith internet services which will allow for bigger multiplayer games. Of course, all this costs money and for things like MMOs, a subscription fee is often required
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