Windows XP is pretty snappy just after install. But after install SP2, all the other updates, and Antivirus, I think it's much more sluggish than Ubuntu. When using them on the same hardware, switching between OSes, I would say Ubuntu is faster.
Right now, I have a laptop running Ubuntu 9.10 and a desktop running Windows XP. My desktop is way beefier than my laptop in every way - more cpu cores, faster cpu core speed, more ram, faster hard drive, beefier video card, etc. but my Ubuntu laptop still has faster boot up, faster login, opens programs faster, and switches between programs faster. And this is with full compiz affects, added stuff to the Gnome panel, no speed "optimizations" that I can think of. Probably the biggest non-standard thing I do to my Ubuntu install is I use the XFS file system instead of ext3/4. This laptop was also originally installed with Intrepid and has been updated in place through Jaunty and now Karmic.
Now in long-running processes, the desktop would probably be faster. For instance if was converting a large video file or compressing a large amount of files. Stuff I expect to take several hours to complete would probably finish much faster on the desktop just because of it's hardware advantage. I don't come across those things very often. For web browsing, listeing to music, watching videos, word processing, Ubuntu is clearly snappier in my experience.
So that's my 2 cents.