R is many things, but it’s not exactly speedy like a Patas Monkey. In fact, while it is much faster than many other solutions, R is notably slower than Stata (even inspiring talks that it should be rewritten from scratch!).
Fortunately, Radford Neal has been hard at work speeding R up, and has released some new patches to play with if you find it too slow. You can also try writing key sections in C++, or using Revolution Analytics’ offerings (free for academics).
Of course, for more prosaic needs, focusing on vectorizing key operations can solve speed troubles. And it’s worth noting that the $1,000+ per copy that Stata costs can buy an awful lot of extra processing power to throw at the problem.