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They may appear to be returning a fresh copy, but internally much of the structure is shared rather than copied. See Persistent data structure: http://en.wikipedia.org/wiki/Persistent_data_structure

Much is shared, yes, but compared to a traditional approach with static arrays, there is a _lot_ of copying in a typical FP approach.

Sure, but in Haskell, a lot of it will be deforested by the compiler.