I think the persistent collections are generally worth the cost. IIRC, for HAMT maps/sets for instance, they're about twice as slow for reads and four times as slow for writes. For bulk updates, you can also slip into using transients, and then when you're done, "freeze" it back into a persistent data structure.

I only wish that the transient collections would support more different kinds of writes, like support all operations on java.util.List/Set/Map kind of thing. Forget which ones aren't present but I remember there being a couple...