I was having a problem not too long ago where the performance of a specific bit of code was abysmally slow. I scanned through it to understand theoretically why it might be going slow, and then ran it through a profiler to see where it was spending most of its time. The results were very strange: most of the time was spent parsing strings into integers and decimals (for those who have never done .NET, they have a decimal type in addition to floats and doubles which are better for processing financial data - with decimals, 0.1 + 0.7 actually does equal 0.8). This was very odd, so I figured I'd look at it in more detail.
It turns out that in .NET, the regular Parse() functions throw an exception when the string is not well-formed. If the string is "N/A", then an exception is thrown. This is a common occurrence in the data I was receiving, so I was just catching the exception and setting things to null right away. The problem was that this code was being executed hundreds of times a second, the overhead from exception throwing was adding up!
In high-performance situations, you're better off using a function like TryParse(), which accepts the int/decimal variable as a reference and returns true if the parse was successful. This does not throw an exception and thus is much faster - a massive performance increase was noticed!
While my example here is with .NET, it applies to pretty much any language where a string to int/float method throws an exception when the string is malformed. If your language has something like TryParse, it is definitely recommended over Parse for high-performance situations!
Or an even better moral: don't throw exceptions in code that needs to be fast!