I thought this was pretty interesting. It's actually part of a larger article (which I picked up from cftips.net), but can be read as a "stand alone" as well. It touches on several things such as variable scoping, query "blockfactors", IIf() vs. cfif, query caching, page caching, stored procs vs. cfqueries, cfthread, etc... There's some good little tidbits of info in there.

I'm blogging about this mainly so I'll have a reference to it down the road when I've forgotten about it. ;)
http://www.adobe.com/devnet/coldfusion/articles/coldfusion_performance_04.html