ORMs have some nice features. They can handle much of the dog-work of copying database columns to object fields. They usually handle converting the language's date and time types to the appropriate database type. They generally handle one-to-many relationships pretty elegantly as well by instantiating nested objects. I've found if you design your database with the strengths and weaknesses of the ORM in mind, it saves a lot of work in getting data in and out of the database. (You'll want to know how it handles polymorphism and many-to-many relationships if you need to map those. It's these two domains that provide most of the 'impedance mismatch' that makes some call ORM the 'vietnam of computer science'.)
For applications that are transactional, i.e. you make a request, get some objects, traverse them to get some data and render it on a Web page, the performance tax is small, and in many cases ORM can be faster because it will cache objects it's seen before, that otherwise would have queried the database multiple times.
For applications that are reporting-heavy, or deal with a large number of database rows per request, the ORM tax is much heavier, and the caching that they do turns into a big, useless memory-hogging burden. In that case, simple SQL mapping (LinQ or iBatis) or hand-coded SQL queries in a thin DAL is the way to go.
I've found for any large-scale application you'll find yourself using both approaches. (ORM for straightforward CRUD and SQL/thin DAL for reporting).