I finally had a chance to do some thorough benchmarking with the Data Execution Prevention ( DEP ) feature in Windows XP enabled and disabled. My test was to run 3DMark05 3 times with it enabled and then to run it again 3 times with it disabled. I rebooted after each individual run of 3DMark so the results would be as consistent as possible.

Here are my 3DMark05 results with DEP turned ON.



Here are my 3DMark05 results with DEP turned OFF.



GameTest 1 - Return to Proxycon
ON - 59.47 fps
OFF - 59.53 fps

GameTest 2 - Firefly Forest
ON - 35.70 fps
OFF - 35.73 fps

GameTest 3 - Canyon Flight
ON - 67.80 fps
OFF - 67.93 fps

The overall average of these 3 games is a difference of less than one tenth of one frame per second. You better have a pretty good eye to notice that.

I think the benefit of Data Execution Prevention by enabling the NX bit is well worth the tiny performance hit. Disable DEP if you're benching for a new world record but I'm turning DEP back on.

You can run NXTest.exe to see the status of DEP on your system.
http://user.cs.tu-berlin.de/~normanb/