I've been hit by nasty slow-downs with denormal numbers a couple of times. It's much easier to hit these problems with single-precision floating point, where near underflow happens much more quickly than with doubles.

As a folk-theorem of numerics goes though: such problems are often a symptom that you're not doing quite the right thing. Should your numbers really be that small? Often recasting the problem slightly avoids having to turn on low level flags or other hacking.