The title of Richard Connell's "The Most Dangerous Game" is important for two reasons. First, the title refers to the things which General Zaroff considers to be "the most dangerous game," meaning prey. Zaroff mentions to Rainsford that he hunts the most dangerous game: men. Men are the most dangerous game because they can reason. No other animal on earth possesses the ability to reason.
The second reason the title is important lies in the game (hunt) itself. For both Rainsford and Zaroff, the game proves to be most dangerous because either man can be killed by the other.
Therefore, the title's importance lies in the dual meaning: the danger of the prey and the danger of the game.