Hands down, USB is the most lag-free. The only real inconvenience is that it may prove difficult in situations where you don't want to be tethered to your desktop, especially if your cable is particularly short. Wireless is obviously the most convenient but also slightly insecure in some situations. You'll also notice a slight-to-severe reduction in frame rate, depending on your connection quality and the latency on multiple devices (phone -> router -> desktop -> router -> phone).