I recently came accross some blog posts about jQuery performance (i.e. http://net.tutsplus.com/tutorials/javascript-ajax/10-ways-to-instantly-increase-your-jquery-performanc
this may refer to many different objects.
Caching $(this) may not be important, because this is already the current element and thus jQuery does not need to search the DOM for this element.
However in a single function if you have more than one times calling $(this), it is wise to put $(this) to a variable instead of calling $(this) many times.
$("#some-link").click("click", function(){
var $this = $(this);
$this.doSomeThing();
$this.doThisThing();
$this.doThatThing();
});
would be more efficient than
$("#some-link").click("click", function(){
$(this).doSomeThing();
$(this).doThisThing();
$(this).doThatThing();
});