I went to the session "Performance Tuning Visual FoxPro" by Andy Kramek at GLGDW. Andy ran some test code, the results:
"Visual FoxPro provides us with a three constructs for branching program execution – the standard IF…ELSE…ENDIF, the DO CASE and the IIF() . What is the benefit (in terms of performance) of one over the other? The most obvious statement to use, the DO CASE, is in every situation significantly slower, while the most unreadable and hardest to construct (the IIF()) was always the quickest to execute."
Dennis Lindeman