JRuby's threads are native system threads, so they give you all the benefits of threaded programming (including the use of multiple processor cores, if applicable). However, Ruby has a Global Interpreter Lock (GIL), which prevents multiple threads from running simultaneously. So the only real performance difference is the fact that your MRI/YARV Ruby applications won't be able to utilize all of your processor cores, but your JRuby applications will happily do so.
However, if that isn't an issue, MRI's threads are (theoretically, I haven't tested this) a little faster because they are green threads, which use fewer system resources. YARV (Ruby 1.9) uses native system threads.