First of all, a relational database's raison d'etre (reason for being) is to be able to model relationships between entities. Joins are simply the mechanisms by which we traverse those relationships. They certainly do come at a nominal cost, but without joins, there really is no reason to have a relational database.
In the academic world we learn of things like the various normal forms (1st, 2nd, 3rd, Boyce-Codd, etc.), and we learn about different types of keys (primary, foreign, alternate, unique, etc.) and how these things fit together to design a database. And we learn the rudiments of SQL as well as manipulating both structure and data (DDL & DML).
In the corporate world, many of the academic constructs turn out to be substantially less viable than we had been led to believe. A perfect example is the notion of a primary key. Academically it is that attribute (or collection of attributes) that uniquely identifies one row in the table. So in many problem domains, the proper academic primary key is a composite of 3 or 4 attributes. However, almost everyone in the modern corporate world uses an auto-generated, sequential integer as a table's primary key. Why? Two reasons. The first is because it makes the model much cleaner when you're migrating FKs all over the place. The second, and most germane to this question, is that retrieving data through joins is faster and more efficient on a single integer than it is on 4 varchar columns (as already mentioned by a few folks).
Let's dig a little deeper now into two specific subtypes of real world databases. The first type is a transactional database. This is the basis for many e-commerce or content management applications driving modern sites. With a transaction DB, you're optimizing heavily toward "transaction throughput". Most commerce or content apps have to balance query performance (from certain tables) with insert performance (in other tables), though each app will have its own unique business driven issues to solve.
The second type of real world database is a reporting database. These are used almost exclusively to aggregate business data and to generate meaningful business reports. They are typically shaped differently than the transaction databases where the data is generated and they are highly optimized for speed of bulk data loading (ETLs) and query performance with large or complex data sets.
In each case, the developer or DBA needs to carefully balance both the functionality and performance curves, and there are lots of performance enhancing tricks on both sides of the equation. In Oracle you can do what's called an "explain plan" so you can see specifically how a query gets parsed and executed. You're looking to maximize the DB's proper use of indexes. One really nasty no-no is to put a function in the where clause of a query. Whenever you do that, you guarantee that Oracle will not use any indexes on that particular column and you'll likely see a full or partial table scan in the explain plan. That's just one specific example of how a query could be written that ends up being slow, and it doesn't have anything to do with joins.
And while we're talking about table scans, they obviously impact the query speed proportionally to the size of the table. A full table scan of 100 rows isn't even noticeable. Run that same query on a table with 100 million rows, and you'll need to come back next week for the return.
Let's talk about normalization for a minute. This is another largely positive academic topic that can get over-stressed. Most of the time when we talk about normalization we really mean the elimination of duplicate data by putting it into its own table and migrating an FK. Folks usually skip over the whole dependence thing described by 2NF and 3NF. And yet in an extreme case, it's certainly possible to have a perfect BCNF database that's enormous and a complete beast to write code against because it's so normalized.
So where do we balance? There is no single best answer. All of the better answers tend to be some compromise between ease of structure maintenance, ease of data maintenance and ease of code creation/maintenance. In general, the less duplication of data, the better.
So why are joins sometimes slow? Sometimes it's bad relational design. Sometimes it's ineffective indexing. Sometimes it's a data volume issue. Sometimes it's a horribly written query.
Sorry for such a long-winded answer, but I felt compelled to provide a meatier context around my comments rather than just rattle off a 4-bullet response.