Either extreme can be bad. It really depends on the game you are pursuing and what distances you will be shooting. I guess I usually go for a "medium" bullet going at a fast clip. Here are some examples:

Deer: 130-140 grain shot from a 270 or larger going pretty fast. I use a 270 with a 130 grain remington corelokt or a 140 grain hornady light magnum

Elk: 160-180 grain shot from a 7mm or 30-06 or larger. You can also make these bullets go pretty fast. I use a 7mm mag with a 175 grain nosler partition.

There are a lot of firm believers in the "big, slow bullet" theory and I can't argue with there results. For shots less than 150 yards, they will probably do the killing job more effectively than a light fast bullets if the shot placement is not ideal. However, at 300 yards they drop so much you better have a rangefinder and a trajectory chart taped to your stock.

Bullet construction is as important as weight or speed. You need a premium bullet such as a nosler partition, barnes X, winchester fail safe, etc for elk sized game.

Venor ergo sum (I hunt, therefore I am)