Well, according to a comparison of a dutch IT company between: Local, App-V, ThinApp and XenApp:
The bootup times are higher. Local apps start at least 2x faster but thats depending on the application size. For this I have the feeling that they also calculate the downloading time, but I'm not sure.
Memory usage of virtualized applications are higher. The most draining one is ThinApp, Local & XenApp use the least memory Memory usage is up to 42,6%
CPU usage
In their comparison this is the order from Fastest to Slowest: Local, ThinApp, App-V, XenApp
Memory junkies, low to high: Local, XenApp, App-V, ThinApp
One of the downsides is that you don't have shell integration for applications like TortoiseSVN, 7-Zip, Winrar, Winzip etc.