I think it's more server intensive. Because a user need to click several time (load several pages) before reach the "real" URL. Right now, we need to click Games -> PC -> RPG -> a thread. Need 4 step to reach the thread, compared to clicking a link that already filter RPG PC Games -> a thread. At least for bandwidth, I think. I'm not quite sure, though
If we use a drop down menu, a user will click the last level menu, contains the "real" filtering URL (RPG PC Games). And we still have the category "level", without loading several pages first. Unfortunately, it's a bit hard to find a cross browser and a pure CSS drop down menu.
EDIT: Thanks, Yumi. I need to change my template