This is one benchmark.. somewhat dated, but good for a general idea.

You might also find this article to be interesting too...

By and large, I've found that JSPs can be as fast as mod_perl, (Note: JSP have to play catchup to equal mod_perl performance, with a specialized JRE like IBM, and lots of other trickery besides) but the usual disclaimer applies, it depends a lot on what you're doing with mod_perl and JSPs, so these benchmarks should be taken with a more than a few grains of salt.. :o)

CGI is slower because of the overhead of starting up an interpreter for each invocation of the script, and all of these benchmarks seem to prove this.. so, yes, for the most part, mod_perl over CGI is true where performance is concerned...

As in a recent thread though, I'd prefer mod_perl (and Perl in general) over JSP (and Java) for an entirely different set of reasons.. YMMV :o)
HTH