A collection of scores on the Byte Unix Benchmarks show that Linux turns in numbers comparing very well to commercial Unix boxes costing tens of thousands of dollars.
Recently, MSNBC did some tests of Linux performance versus Windows NT. To quote: "According to ZDLabs' results, each of the commercial Linux releases ate NT's lunch." See the full article here.
My own experience has shown that, for my own programs, on my own (admittedly somewhat obsolete) hardware, Linux is at least 15% faster than Windows 3.11, even when I optimize them for the respective platforms.