This has been something like a tale of the unexpected for me. A client recently reported a problem with scrolling being slow in IE when the mouse wheel is used. It took about two afternoons of testing different scenarios and head scratching, and this is where we got: it seems that if a :hover pseudo CSS class is used on the web page, scrolling in IE7 becomes slower, even if the CSS selector, which contains the :hover pseudo class does not select anything, i.e. the CSS rule is not relevant to any of the web page elements.
The longer the page, the more the scrolling lag is noticeable.
IE6 doesn't seem to exhibit the problematic behavior.