Via coding horror, I stumbled upon a simply wonderful talk by Herb Sutter about various performance issues like how much operations cost. It also discusses how memory, latency and machine architecture can affect that cost how this has changed over the years. You can find the slides and a video of the presentation at http://nwcpp.org/Meetings/2007/09.html.
Be prepared for a total geek-out. This is highly technical (and awesome, but that's bordering on a tautology) stuff and probably not for the faint of heart. Slides 6 and 7, for example, around the 23m mark) show the value of cache compared to getting something from RAM, and just how bad retrieval from disk is. Later (slides 13 and on; around 55m in the video), when it comes to threads and how a compiler or even hardware may screw you over not do what you want to do, or even what you tell it to do, people how still have them are allowed to run to their moms for safety. By Patina, that is just nasty.
Near the end Sutter discusses the differences between using vectors, lists and sets and what the penalties for the latter are for something as simple add adding all the values in them. This starts at around slide 22, or 1h40m. Even if the rest is gobblyjook, this part is easy to understand. Basically, low footprint and sequential accesses are Good Things, even if you have cache and stuff. Especially when you have cache and stuff.