This is probably no great surprise to anyone but bitmap effects have quite a significant performance hit on your CPU.
The following code is an example of how to apply a drop shadow
<Button Content="Drop Shadow Under Me" Width="200">
<DropShadowEffect Color="Black" Direction="320"
ShadowDepth="25" BlurRadius="5" Opacity="0.5" />
So just be aware before you start apply dropshadows to every button / element on the page that it will slow your application down.
Just be considerate in your use (and always check your performance), especially since some effects (such as dropshadow) can easily be produced using more performant techniques.