On some platforms (and even versions), this is going to depend on how NULLs are indexed.
My basic rule of thumb for NULLs is:
Don't allow NULLs until justified
Don't allow NULLs unless the data can really be unknown
A good example of this is modeling address lines. If you have an AddressLine1 and AddressLine2, what does it mean for the first to have data and the second to be NULL? It seems to me, you either know the address or not, and having partial NULLs in a set of data just asks for trouble when somebody concatenates them and gets NULL (ANSI behavior). You might solve this with allowing NULLs and adding a check constraint - either all the Address information is NULL or none is.
Similar thing with middle initial/name. Some people don't have one. Is this different from it being unknown and do you care?
ALso, date of death - what does NULL mean? Not dead? Unknown date of death? Many times a single column is not sufficient to encode knowledge in a domain.
So to me, whether to allow NULLs would depend very much on the semantics of the data first - performance is going to be second, because having data misinterpreted (potentially by many different people) is usually a far more expensive problem than performance.
It might seem like a little thing (in SQL Server the implementation is a bitmask stored with the row), but only allowing NULLs after justification seems to me to work best. It catches things early in development, forces you to address assumptions and understand your problem domain.