Update
Apparently, jQuery templates can be compiled and it helps performance for templates with if statements shown here.
But a
This seems to be the fastest engine right now: http://documentcloud.github.com/underscore/
You can find a benchmarking test suite here that compares all different templating frameworks currently available: https://github.com/aefxx/jQote2 [download and run jqote.benchmark.htm].
I do believe that jQuery templates are in their infancy and performance will improve in subsequent iterations.