Sense is usually slower than plain Android, though it has supposedly come a long way.
You are right about CyanogenMod though, people pander way too much to it.
That isn't to say CM is bad, but CM has this mega reputation, but it's well known because it was one of the first roms that supported a lot of devices (and had lots of nice tweaks), not necessarily because it's something magical in terms of speed. CM's speed is nothing special, when tweaked, even a stock rom can usually run quite fast. A great example is Bumblebee and Harmonia 1 vs CM roms, they hold their own against it.
Compare any of these roms to stock though and stock looks absolutely pathetic. The stock rom runs about 25% slower than any well done rom. Harmonia can run at 480mhz and still rings around a stock phone (seriously!). It's all due to bloat on the stock rom, not because of magical CM tweaking.