C / C++ / MFC

1. The performance penalty is usually only incurred when an exception actually is thrown (which is assumed to be rare). The overhead of having a try/catch block is usually negligible (between 3 and less than 10 asm instructions).
   
2. Exceptions can improve performance and code size in cases where a lot of error codes have to be checked:

   // without exceptions
   if(foo1(...)!=OK){
   ...
   }
   if(foo2(...)!=OK){
   ...
   }
   ...
   if(foon(...)!=OK){
   ...
   }
   // with exceptions
   try{
     foo1(...);
     foo2(...);
     ...
     foon(...);
   }
   catch(...){
     ...
   }

   
   
3. Exceptions are sometimes the only reasonable way to go (eg. when a ctor fails).
   
4. Exceptions integrate seamlessly with the RAII (Resource Acquisition Is Initialization) idiom. They help support invariants in your classes.
   
5. They can help you simplify the signatures of your functions: instead of

   BOOL getWhatever(int &whatever);

   or

   int getWhatever(); // -1 if it fails

   you can write

   int getWhatever(); // throws couldnt_do_it if it fails

if(printf("hey") < NULL)
  AfxMessageBox("Error");