There is a good description about what is going on with the use of the evaluate function behind the scenes.
I still have one question after reading this that I'm sure somebody has already investigated. Do we pay the extra overhead for each occurrence of evaluate in a page, or just once? I don't mind so much if I'm just paying it once for 50 instances on a page. If the parser is getting invoked 50 times, I think I'm hunting them down and changing them.
ColdFusion MX 7 -- Avoiding the Evaluate function -- Version 7