On the PHP::Impact blog there's a recent post that details a statistic Paul Jones found with the Zend Framework's performance - a drop in the response time of the front controller between the 1.0 and 1.5 releases.

The most important factor in making a Web application fast is its basic design. You must also know what kinds of processing your framework is doing, and what its bottlenecks are. The best way to find the performance bottlenecks is to monitor the performance counters and to have a thorough understanding of the framework your application is using.

Federico runs some benchmarks of his own (using the Apache benchmarking tool, ab) both with a default "base app" and with a more optimized "take out what you don't need" version.