The only two games I've extensively tried were Rocket League and God Eater. RL was noticably laggy and frustrating when I played a year-ish ago streaming via NVIDIA Shield but the lag has not been noticable to me so far on the Steam Link. The only change in between is I upgraded my GPU from a 660 to an AMD Fury, but since I could play RL at > 60fps on the 660 I don't think that had anything to do with it.
I've also done some quick tests on Skyrim, Grim Dawn and Doom 2016 and didn't notice any lag, but only did each for a few minutes.
Edit: I should also mention that I have a 1 acre property with no neighbors for a quarter mile or so on 3 sides of me, and my wireless router is in the next room over with only one non-exterior wall in between it and my steam link. So that probably allows me to have pretty optimal Wifi setup.
I also have a R7000 Nighthawk router that I paid close to $200 for, so I don't have a run of the mill router as well.