I don't like the answers provided by Brian Bondy and Czimi...
Perhaps this is because I started in a different era, when 32K was considered a lot of memory, and most "personal computers" had 8K bytes, and that now I work in scientific computing where the largest data sets are processed on some of the world's largest systems with thousands of processing nodes and seemingly unbelievable quantities of storage. Therefore I don't overlook certain other elements of the question.
The size of the data set in question makes a fantastic difference. Most all the answers on this question so far ignore this and work for very small numbers N. The other people who have answered have all presumed "it all fits in memory," or something close to that.
For large data sets other factors come into play, and "large" depends on what resources you have to use in solving your problem. Modern systems have the opportunity for off-line storage (e.g. DVDs), networked storage (e.g. nfs), on-line storage (e.g. serial ATA), and two levels of memory storage, system main memory and on-chip cache. How these are leveraged matters and the larger the data set the more they matter. You may or may not need to design access to these into your "algorithm", but if you do, it really matters!
As you increase scale beyond some particular point - the limit of a single CPU and its local memory is about right - these other factors become an increasingly large factor in the overhead of the workload. When I was a Digital, we did some of the first real commercial work on multi-CPU systems and I remember running a benchmark that showed that using a single-CPU as one "unit" of CPU workload capability, a second CPU (in a tightly coupled system) would give you a total of about 1.8. That is, the second CPU added about 0.8. For three, the increase dropped to about 0.6, and four it dropped a lot more, to about 0.2, for a grand total of about 2.6 for a four CPU arrangement, though we had some troubles keeping good numbers with four CPUs due to other effects (the measurement effort became a large fraction of the additional resource). ...The bottom line was that multi-CPUs weren't necessarily all they were cracked up to be - four times the CPU does NOT give you four times the processing power, even though in theory you get four times the flops. ...We repeated the work on the Alpha chip, the first multi-core in history, and the results held up pretty well. Surely there could have been optimizations to improve the fraction each additional CPU gave, and surely there has been a lot of work since then to split computing threads more smartly, but you'll never get it all the way to 100% of each new one, in part because they all slow down some (extra overhead) to coordinate.
Small interjection - we had a saying about this work: "Religate all the Important Stuff to the Compiler!" RISC, get it? This was because the compiler itself had to organize the workload so competing threads didn't step on one another!
Ultimately performing processing of really massive data crunching requires a really smart strategy of moving the data in and out of farther afield data storage through to local memory. And, division of labor within the algorithm is absolutely vital. In work I was doing with Roberto Mechoso at UCLA doing Global Circulation Modeling, they had a data-broker design that is illustrative of the attempts people make to do a great job. Frankly, the result wasn't as good as it could have been, but the design ideas that went into it are worth study. ...Presuming you consider this part of your "algorithm" - and not just the bit twiddling part, then the algorithms management of resources is one of the most vital aspects of reasonable if not optimal resource utilization doing substantial computing.
...I hope this helps answer your inquiry.