In my experience (desktop and server, haven't tried it on a microcontroller) exceptions have for all practical purposes zero cost until you actually throw one, at which point the cost is ten thousand clock cycles. That figure has stayed surprisingly constant over two decades of hardware and compilers for three different languages. (And, obviously, it's a negligible cost for an exceptional situation, but you wouldn't want to use it for flow control in a crunch-heavy inner loop.)
FWIW, the Symbian file server used an exception to get out of a crucial loop. It was a bit of laughable trivia, but a bunch of us set out to prove it was a bad idea... but on profiling it was provably noise. We moved from setjmp implementation to EABI zero-cost and it was still no issue.
Just a data-point and a good case of profiling beating intuition :)
