For me, it's a bit faster in a lot of stuff I use. But, I think a major thing for me is the newer interface. I have used WindowBlinds before, and the OS seemed to slow down greatly. If the box is fast enough (the slowest I have used it on is a PII 266 with 128MB of RAM, and it just crawls along on that) then you can have everything turned on and not notice any drops in performance. Boot and shutdown times are faster, but I never really cared about that as I don't reboot my system very often at all (once every couple of weeks or so).
 
Another nice "feature" is since MS has focused all of its attention on the same core (finally!!!), vendors are now doing the same thing. Far better drivers are coming out, and compatibility issues should be greatly reduced. This also affects the programming quality, as I am hoping to see better programs from these companies that want to work with the NT core.

Driver Rollback and System Restore are nice. I plan on using Remote Assistance quite a bit, as well. The encryption in XP has been improved. And I've been very successful in getting games to run that wouldn't in 2000.
 
I'm a huge fan of Windows 2000. Heck, I was an early adopter. I wasn't expecting much from XP, but I've been thoroughly impressed by it since Beta 2. I've got a couple of gripes about XP, but they are minor. And a few of them will probably be corrected in the first Service Pack.