jerm,
Thanks a lot on your input. My problem is mainly with incoming traffic, since I can decide what goes out or doesn't go out on this connection. That is, if my outbound bandwidth is saturated, I could easily fix it. If my inbound bandwidth is all used, I can hardly do anything on my side, since gaming traffic is already coming to me delayed. I can shape it on my side, but whatever I do will never be 100% as efficient as it would be on my ISP side.
So as I have it right now I am more than happy. A 12ms on average ping increase while someone is updating TF2 is good enough for me, way better than with no shapping at all, when Steam was usiong all available bandwidth as soon as someone needed to update something (even the update of the Steam client would give everyone several seconds of lag!)