While I don't usually reach for XML when I need a data transport format this particular criticism is somewhat unwarranted. SAX parsing of XML is pretty cheap computationally. The problem is cultural more so than technical. Pretty much every language ships with a DOM parser. Not all of them ship with a SAX parser. As a result DOM is the more predictably available choice.

DOM Parsing is both computationally and memory expensive though which I think is where XML gets this reputation from.