@Diebor - You can sample faster than you can process or send the data. It sounds good at 40K samples / sec.
http://www.arduino.cc/cgi-bin/yabb2/YaBB.pl?num=1208715493/11
The only use I can see for this is to oversample and average ever pair of samples.
This way you can avoid using a hardware Nyquist filter at lower sample rates.