Exceptions are now well-handled, and the strategies used to implement them make them in fact faster than testing return code, because their cost (in terms of speed) is virtually null, as long as you do not throw any.
However they do cost: in code-size. Exceptions usually work hand in hand with RTTI, and unfortunately RTTI is unlike any other C++ feature, in that you either activate or deactivate it for the whole project, and once activated it will generated supplementary code for any class that happens to have a virtual method, thus defying the “you don’t pay for what you don’t use mindset”.
Also, it does require supplementary code for its handling.
Therefore the cost of exceptions should be measured not in terms of speed, but in terms of code growth.
EDIT:
From @Space_C0wb0y: This blog article gives a small overview, and introduces two widespread methods for implementing exceptions Jumps and Zero-Cost. As the name implies, good compilers now use the Zero-Cost mechanism.
The Wikipedia article on Exception Handling talk about the two mechanisms used. The Zero-Cost mechanism is the Table-Driven one.
EDIT:
From @Vlad Lazarenko whose blog I had referenced above, the presence of exception thrown might prevent a compiler from inlining and optimizing code in registers.