Is there much performance loss compared to bootcamp?
How well it works varies widely by game you want to play if this is what you are wondering about. For example, I have read reports of Skyrim working well in Parallels although I am certain some concessions with graphic settings must have been made to achieve that. Maybe I am wrong in the case of the latest highest end Nvidia mobile GPUs but for many Macs you'd probably need to turn down resolution or some eye candy for good FPS in that game. A lot are fine with that trade off to not reboot though as it still looks good and is of course fun to play. Someone reported Dishonored ran well too. Again, considering there is a performance hit running in a virtual machine, I would expect that involved making some trade offs with settings that particular user was okay with. Perhaps on a top end new model iMac you can get away with that though. Mine is a mid-2011 27" so I haven't tried anything like that. I wanted best performance running anything newer.
Older games tend to run great, such as Painkiller. I can play that or Serious Sam II at 1440p and max settings and they run smoothly. They are older games though.
Overall, I've been pleasantly surprised by how useful Parallels is to me in cutting back on the number of times I need to employ bootcamp/rebooting to play Windows games. As a general rule of thumb though, I am of the opinion that for anything newer than say 2007 or 2008, you are better off with Wine if it works or else rebooting to Windows if not.
For me Parallels is also great at running good old games purchased from GOG.com. Everything I've tried from there works well although fortunately they are increasingly supporting OS X anyway. Also games such as AOE 2, Warcraft III, Diablo II, any of the Infinity Engine RPGs (Baldur's Gate 1 & 2, Icewind Dale 1 & 2, Planescape Torment) all run well too. Again, these are old but Parallels is great for this kind of stuff and more convenient than Wine to setup.
Ideally, it is good to have a spare Windows license for Parallels. They claim you can use your bootcamp install in OS X too but in my experience I ran into issues with Windows not wanting to validate itself in both places. My solution to that which also works well considering my focus on older games with Parallels was to setup a copy of Windows XP SP3 with Parallels and use Windows 7 with Bootcamp.
Sorry to be kind of wordy there but I hope that is helpful to you. If you are looking for a solution to primarily play this year's and last year's games, etc. I would not recommend Parallels even though I like it a lot. It is better, cheaper and always reliable to use the Bootcamp option instead.
One last very important thing to note is that while Parallels offers very good support for DirectX 9.0c, DirectX 10 support is a new thing and in my own testing performance was horrible. They have a long way to go there and I am not surprised as from what I understand, their GPU code is a blend of their own stuff and code from Wine which does not support DirectX 10 yet either. DirectX 11 is not supported at all. So there goes a bunch of eye candy you can have in Bootcamp with an appropriate GPU in your Mac that you cannot have with Parallels.