Tried it out on my desktop (see specs for it). No difference in any demanding games I tried (Assassin's Creed, Mass Effect, Dead Space, Crysis). Seem to play as usual. However, I found if you repeatedly switch gaming mode on and off a few times, RAM usage continues to go down each time.
Gaming mode off and on repeatedly with standard options:
On: 37% to 36%
Off: 36% to 37%
On: 37% to 35%
Off: 35% to 34%
On: 34% to 33%
Off: Stayed at 33%
On: 33% to 32%
Off: Stayed at 32%
On: 32% to 28%
Off: Stayed at 28%
On: 28% to 26%
Off: 26% to 27%
On: 27% to 26%
The last two were repeated from there on. Couldn't get it below 26% usage through its standard options. I then had it disable everything except things necessary for my games (Creative control panel, Logitech G-series manager (key manager for Logitech G13), LCD monitor (screen manager for Logitech G13), SetPoint (button and DPI manager for Logitech G5 mouse), Zboard control panel) and my anti-virus. Couldn't get it any lower than 25% though. Like I said, still no difference in games though.