It is embarrassingly slow. I did some tests a couple years ago, on ActiveRecord 3.0.pre, and its 20x slower to initialize empty objects (no database access) than DataMapper, or just making empty Ruby objects & hashes.
https://gist.github.com/260280
Edit: Ran it with AR 3.0.7 and 3.1.0.rc4. Granted, this is with a 2-years newer CPU, but 3.0.7 is a huge step up. 3.1 seems to have regressed again, I'll ping tenderlove about it when I see him.
https://gist.github.com/fabfaf1bd8503fbf6d32