It depends on the application.
Any kind of graphic refresh has to be sent over the wire. Typing in a text editor requires a small amount of bandwidth, especially with bitmap caching enabled, as only a small portion of the screen is being updated. Playing a flash game over RDP is extremely bandwidth hungry. Scrolling PDF files with font smoothing in Adobe Reader enabled is an awful experience, especially with high latency links.
You just have to test the application on a limited connection. Use netstumbler or similar to set a bandwith limit for the RDP session and see how the connection behaves. Find some other software to increase your latency, or use a mobile broadband service to see how it behaves over high-latency links.