I have read so many times, here and everywhere on the net, that mutexes are slower than critical section/semaphores/insert-your-preferred-synchronisation-method-here. but i
A mutex (at least in windows) allows for synchronizations between different processes in addition to threads. This means extra work must be done to ensure this. Also, as Brian pointed out, using a mutex also requires a switch to "kernel" mode, which causes another speed hit (I believe, i.e. infer, that the kernel is required for this interprocess synchronization, but I've got nothing to back me up on that).
Edit: You can find explicit reference to interprocess synchronization here and for more info on this topic, have a look at Interprocess Synchronization