In the higher end cameras, the Lexar are faster. For the average user, they are not. Look at this page for more info (about high end cameras only)
For example, on the Canon 1D:
Lexar 512 WA 40x averages 2982K/sec
Sandisk Ultra 512MB averages 2710K/sec
Lexar 512 WA 40X averages 2512K/sec
Sandisk Ultra 512MB averages 1680K/sec
Between 300K and almost 1MB per second faster. Not bad.
Lexar Professional 40X WA 512MB $189.95
Sandisk 512 Mb Ultra $159.95
For 30 bucks (20% higher) some people get a rather large speed improvement. It isn't faster for me, but for others it is most certainly worth it. In the EOS-10D, it isn't worth it... the speed difference is less than 40k.