The MEGA is exactly the same speed at the regular Arduino (one if its weak points, I guess.) However, it has MUCH more memory; about 8x the program memory and 4x the RAM of the mega168 used in most Arduinos (4x and 2x compared to the mega328.) Plus more pins, times, and uarts, all of which can save a lot of CPU cycles compared to having to implement them in software or via IO expanders of some kind.