There will definitely be some overhead in events, but generally not of consequence unless you plan on raising hundreds of events (or more) per second. Events can use single or multicase delegates (multiple receivers), so if you have more listeners you will have more overhead (I imagine it working like a foreach that loops through the functions, calling each one in turn).
Again, you could easily test this with a sample project that loops and calls a function x number of times and raises an event the same number. Keep in mind that your function/event handler is likely do *something*, and that the something is likely to take longer than the call. If it's generally a LOT longer, than delegats won't be adding that much in terms of the overall time. If they're very fast events (setting a property or two or just a few if's), then a pure method call might be worth it.
-Ner