I'd love to just go the whole hog and encrypt the whole drive, but as a developer I jealously guard performance as I feel it links directly to my productivity. So I just have an encrypted Truecrypt volume where really sensitive stuff goes. But I hear everyone recommending against that.
The latest Truecrypt 7.0 uses AES-NI instructions in the i5 and i7 processors, which allegedly have 8x speed http://www.truecrypt.org/docs/?s=hardware-acceleration
Go ahead and encrypt your whole drive, if there performance problems, you can easily de-encrypt it.
On Windows, PGP gives me no real difference in anything that isn't I/O bound, although I did notice that Fallout 3 went from fine to unplayable at the same settings - I've noticed that anything that makes extensive use of sound (presumably streamed off disk) has an impact.
On Linux I did some tests a while back with luks and found that there was about a 5% overhead on i/o operations for a luks partition with ext3 vs straight ext3.
I haven't had any figures for Mac but PGP is a bit of a memory hog on Leopard. The Mac Mini server we have at work isn't something you'd want to use for day to day activities, certainly nothing intensive, but is fine as an office file server.
At the end of the day, what you're looking at is a minor memory impact (for most cases) and a minor to noticeable impact on i/o performance in exchange for a significant improvement in confidentiality for data at rest. That's the call you need to make. If your code and other files are sufficiently sensitive for you not to want random thieves to be able to look at your laptop if they steal it, encrypt. If you have sensitive information that requires protection for legal purposes, encrypt. If it's not an issue for you, then don't.
I'm sure there's more overheard with full disk encryption and I might just be used to the lower performance of my portable apps. I'd say it's worth it.