Smoked plexi gives you better contrast between lights and darks.
Blacks look darker, lines look clearer (without that monitor fuzzy blur from the lit phosphors), and colours tend to "bleed" less.
It is also great for hiding your monitor shroud, and gives the image a floating feeling.
This is great for 2D sprite games, but if you're playing 3D games like the Street Fighter 4, then smoked plexi won't help much there.