Very good tip, thanks! I'll consider that for my proper setup, I've had some problems finding proper calibration values for some water containers and heaters because of the lag in the system.
There's no natural resonance in the system caused by energy-storing elements. For instance, if you drop a cold egg into a pot of water at exactly 80 C, it won't overshoot and go up to 85 C before settling to 80 C. Mechanical systems on the other hand often have "spring-like" behavior that causes them to resonate at certain frequencies.
If you want to get hardcore with the control design then you could look into fuzzy logic controllers. It's common in high-end appliances: http://en.wikipedia.org/wiki/Fuzzy_control_system