I would say no, since it is my assumption that it would take as long to process the Script Event Command as it would other Event Commands. So, my guess is that it would depend on what the script command is. For instance, I imagine using a script cocmmand for something like:

$game_variables[1] = 5

would be slower (negligibly) than

Control Variables: [1] = 5

Though I'm not positive about that.

However, for something like this:

for i in 0...10
  if $game_variables[i*2] != 10
    $game_variables[i*2] *= 2
  end
end

I would imagine that would be faster than making a list of conditional branches.

I disagree with locking this topic.
Every now and then new members has historically wanted to express their feelings on this matter. I prefer having it all collected in one place where the newcomers can read other views and opinions as well.
It's definitely better than the alternative of posts on this matter appearing scattered across the forums.

@Caesis:
Scripts definitely can create lag. Too much code to process in per frame => lag.
What you can say is that in most cases when having the same functionality in a script and in an event the scripted way will process faster.