If you use applications that need a lot of CPU cycles, or you use virtualization applications such as VMWare Workstation of Microsoft VPC, the default settings for most notebooks will not result in the best performance. I have found that even when you have your system plugged in and set to 'Maximum Performance' or 'Home Office/Desk' under the power management options, the system will still automatically throttle the CPU according to the needs of the application and the operating system. This throttling has gotten much more intelligent over the years, but you will still probably notice a performance hit in certain situations.
Starting with Windows XP, the CPU throttling functionality became integrated with the operating system. The only setting that will guarantee that your system runs at full speed all the time is if you set the power management scheme to 'Always On'. At least this has been the case on a few Dell notebooks and a Thinkpad I have used. Note that doing this will make the system run hotter, will probably trip the fan more often, and will of course use more power. But a fast and consistent CPU speed is important for virtualization to behave properly. There are a few cool CPU management utilities available that help you to further tune and tweak these things, such as SpeedswitchXP and RMClock.