See this study:
http://www.angelfire.com/ca/divers3/Argon.pdf
Personally, I will only use argon if I'm doing an unusually long dive in cold water, or a very deep dive in cold water. Air is a very good insulator, and for most dives, I can't even tell the difference between the two.
Besides, if it's really cold, I use electric heat, which actually gives you heat. With argon, you simply lose heat at a slightly slower rate than air.