I've been recently running TPC-DS on PostgreSQL 9.5 (alpha1 IIRC), to see how we're doing (I'm one of the contributors). Thanks to the grouping sets, we're now able to execute all 99 queries in the benchmark, which is awesome. Regarding performance, I've expected grouping sets to be a performance issue as the current implementation is rather simple. But to my mild surprise that's not the case - CTEs are the main problem.
On 100GB data set some queries took hours to complete (well, I interrupted them so I'm not sure how long it'd actually take). After a rewrite (replace CTE with a subquery), the query took a a minute or so.