The performance considerations are marginal at best, on a very fast drive. I have done this for years and haven't noticed performance to suffer or improve either way. I don't benchmark, it's a waste of time when I know I've purchased high performance hardware to begin with.
Now, doing this on the same hard drive but separate partitions, that won't be as high performance as separate disks. But again, performance isn't the main reason why you would want to do this.
The primary reason is to separate your data from your operating system and programs. This is why many Unix systems have /home as a separate filesystem. OS upgrades don't interfere with your data. I've built my systems where "Program Files" was on a separate partition of the same disk the OS was on, and my data lived on a separate disk entirely. This made reinstalling the OS easy, but that practice is deprecated on newer Windows OS's. I don't install a lot of crap programs, so my OS doesn't get crufty, so I don't have to reinstall every 6 months to a year :-).
Nowadays with high speed gigabit ethernet and a basement available for noisy server systems, I keep my data on a separate physical system. Most of the data I'm accessing is media for playback on my HTPC, and gigabit is perfectly acceptable for streaming.