Where Linux is Slow
There are a few areas where Linux can be beat however - typically while trying to play the other OS's game. Emulators for other systems, such as WINE, tend to slow up the system more than may be desired, however it's really the only way to run the programs of other operating systems on Linux systems.
The other place where Linux can be slowed up is with its drivers. Often, driver information for parts is not made open to the public, meaning that Linux users can't always use the optimum drivers for their systems.
Certain graphical interfaces and distros tend to be faster or slower than others, though they all tend to be fastest than the latest of other operating systems. Running KDE within GNOME to run a program such as Amarok, for instance, might not run at an optimum speed. However, it does depend on your choices as a user. Slower, more feature-rich programs do exist for Linux, but slimmer alternatives that work every bit as well also exist if you really want to go for speed. This isn't so much the case for Microsoft or Macintosh, where you can't cut the slack even when you want to.