Higher MTu's run the risk of fragmenting packets, which slows down 
performance.  So, you want the highest MTU possible for any given 
connection without fragmenting ("ping -f -l destination" will tell you 
if a packet has fragmented).  Standard cable/dsl/t1 connections have 
MTU's of 1500.  The ping to test this is actually "ping -f -l 1472" 
which equals an MTU of 1500 because of 28 extra bytes in the header (or 
something like that) so 1472 is actually an mtu of 1500.

Making things more complicated, OS's also set MTU for the adapter 
(ifconfig for *BSD, for Windows you will need to research registry 
changes or get a tool to modify the MTU).

So, if you had a LAN composed of gigabit devices that support jumbo 
frames, you should get significantly improved performance by setting 
your MTU to 9000 for all of the devices in the OS.  Then, for your WAN 
connection, you would almost certainly want and MTU of 1500 because that 
is likely the limit of the DSL/Cable/T1 line that you connect to.

I hope that helps.

Jeff