Joozey. If one has his/her site hosted with many other sites on the same server, this is called shared hosting. I guess you already know that. The security issue is that any other person on same server can for instance, but is not limited to sniff data.

Another example. One would think that their php script source can't be seen by others. Really in most cases this is false. A bad person with access to the server has also right to execute php and thus able to read your script's source in plain text.

Aside from the above. If the bad person download the game and connect to the MySQL server, he/she could use wireshark to sniff what is send as well. You could encrypt data which makes it a little harder for the wanabe-hacker though.