A few milliseconds per query adds up if you're doing one query per item in a list with 100s or 1000s of elements :)
If you're doing this, then you need to stop :)
Additionally, this laziness means your business logic can dynamically choose which data to pull in based on results of queries, and you end up with running fewer queries as you'll never need to pull in extra data in one huge query in case business logic needs it.