it seems that building DNN modules can somewhat performance exhaustive. Is there anythign to keep in mind. If I do code my modules not compiled thus not codebehind thus with code inside .aspx pages in script tags. Does this have any advantage or disadvantage considering performance?

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Lokaler

The app cache inside asp.net works pretty effectively to keep elements compiled and ready to use inside a running application.  The main difference is the point where the source is converted to compiled p-code.  With non compiled modules the code is processed at a later point in time.

Having said this the use of code behind has not a lot to do with whether an application is compiled or not.  Code behind is simply a more structured way of managing your source.  Both WSP and WAP style modules can and really should take advantage of the code behind feature - it keeps your markup and code clearly defined.