What you need to realize is that each Categories folder is actually an application itself. I don't think Categories causes any lag, per say, but each time you open a folder, you need to wait for that folder to load, because, in actuality, you're waiting for an app to start up.
You can use the "Keep Resident" option, to reduce this, but that uses RAM, so do so sparingly.
Personally, I love categories, and I have some folders with 30+ apps in them, and it has never given me any problems, or lag.
Yes, it can crash, if you try adding too many folders at once, but I usually just keep adding them, and if it crashes, pick back up again where I left off.
The most important thing to remember, is that you need to empty your folders before you restore or update your OS!
The reason being, that when it adds an app to a folder (which is really just a launcher), it hides the icon on the springboard.
If you restore, with an app in a folder, that app will appear to be missing when you try to find it afterward. It's not really gone though, and you can use Poof get make it appear again, but you're screwed if you have Cydia in a folder, when this happens!
I learned about this the hard way, and updated to 2.1 with my folders full!
Even then though, it wasn't anything that I couldn't fix--It was just a major PITA!
