When I built my most recent (current) system, I opted for one of these.

It can run applications, such as your firewall and torrent downloads directly on the card.
If you plug a USB hard drive into it, the downloads never slow your system down.

The card prioritizes your gaming packets, so the game gets as much bandwidth as it wants, with everything left over going to torrents or other downloads.

I'm not sure if the gains are huge or not, as this system is a hefty upgrade from my previous, in pretty much every category.
The top alienware and falcon-northwest systems do include the Killer NIC in their systems.

I'd imagine, you're paying a fair bit for a small upgrade, but if you have the cash to spare it is an improvement.
Playing at my dad's place, my system but his wireless network (did not want to go a whole summer without a PC capable of gaming), my load times of npc's when landing from the gryphon or loading the auction house increased by a few seconds, so the card does do what it says. His connection is similar to mine, 200k - 1mb /sec torrent downloads for popular torrents.

For FPS type games, you can set the card to increase your latency, which effectively handicaps you a bit forcing your play to improve to compensate.
I've not used that feature, but its neat the card gives options like this.