AGP is a MUST. Much faster than PCI. Never use PCI to play games.
If your motherboard has an AGP port and most do, please take full advantage of that. Me on the other hand, I'm going for the PCIe which is a little differnent than conventional PCI. It is new and have lot of potential. RIght now, it runs fast but no significant performance gains as of yet compared to AGP. AGP is nearing it's limit right now but still has a few developments under its belt. But PCIe will be the future.