In a recent post to his blog Rubayeet Islam compared the more traditional way of running a query in MySQL versus a prepared statement with the MySQLi extension.
Consider a PHP-MySQL application where the information of 1000 users is being retrieved from the database by running a for loop [...] in each iteration, the first thing the MySQL engine does is to parse the query for syntax check. Then it sets up the query and runs it. Since the query remains unchanged during each iteration(except for the value of user_id), parsing the the query each time is definitely an overhead. In such cases use of prepared statements is most convenient.
He explains what prepared statements are and some of the advantages around them and includes some benchmarking examples to show the differences - about a five second jump in favor of MySQLi.