Wirelessly posted (iPhone 3GS (White, 32GB): Mozilla/5.0 (iPhone; U; CPU iPhone OS 3_0 like Mac OS X; en-us) AppleWebKit/528.18 (KHTML, like Gecko) Version/4.0 Mobile/7A341 Safari/528.16)
I just installed MobileSubstrate and Winterboard and there is an OBVIOUS slowdown. If anyone has any doubts, I'd be happy to post a video to YouTube comparing both of my 3GS' side-by-side. It will be obvious as soon as they boot, which one is vanilla and which one is jailbroken. The jailbroken one takes about ten seconds longer to boot, and opening individual apps (Mail, Settings, Photos, etc) takes slightly longer as well.
That said, it's not enough of a difference to make me want to get rid of WinterBoard and SBSettings and Notifier.

... The jailbroken 3GS is still slightly faster than a vanilla iPod 2G, which is MUCH faster than a vanilla 3G, which is faster than a jailbroken 3G. In other words, even though there is a perceptible slowdown - slight, but perceptible - when jailbreaking the 3GS and running custom themes, etc, it's still quite fast and much better than a stock 3G, let alone a jailbroken one.