Latency is the time a transmission takes to travel between your computer and the server/host/whatever.
It's not connected to speed; you can have a massive download speed, but a low latency, and it won't do you any good.
Ping, in videogames, is just the latency between the player and the server.
If you have a low latency, then your game information needs less common updating, meaning that the overall game experience is lower.
http://en.wikipedia.org/wiki/Ping_%28video_games%29http://en.wikipedia.org/wiki/Latency_%28engineering%29