jQuery 1.4.2 is lean and mean. You'll be hard pressed finding something faster or more lightweight.
As an example, here is a framework test called slickspeed
from mootools. It tests a framework's ability at finding elements in the DOM. The version of jQuery being tested is 1.2.6. Depending on your browser, jQuery performs exceptionally well. In my Chrome browser, jQuery beat all the others with a total time of 20 milliseconds.
And since version 1.2, jQuery has had astounding improvements in optimization and speed, especially with 1.4.
That said, a framework isn't going to make you code better. You can write some seriously slow scripts using any framework, including jQuery.
If, however, you write optimized code, jQuery can be so fast you don't even notice.
Pointy's comment above is spot on. All these guys do all day is worry about how to perform better. So it's pretty optimized.
Here's another one from jQuery! http://ejohn.org/files/142/ You'll notice that the differences in times are in milliseconds, which is so very, very unnoticeable.
addendum
This is from jQuery's blog:
While comprehensive benchmarks like Taskspeed can be interesting if deconstructed into individual sub-tests for further study, as a project we tend to stay away from using them as an accurate measure of true, overall, library performance. Considering how many aspects make up a library, not to mention the different techniques that they offer, cumulative results rarely reflect how an actual user may use a library.
So take that as you will.