* Disabling depth testing means that the depth buffer doesn't have to be read/written, which slightly reduces your bandwidth per-pixel (save a 24bit read+write per pixel).
* Disabling depth writing means that the depth buffer doesn't have to be written, which (even more) slightly reduces your bandwidth per-pixel (save a 24bit write per pixel).
* Enabling depth testing will also enable "early Z" / "HiZ" on modern GPU's (assuming that alpha-testing or shader discard/clip statements aren't used -- these features kill early Z). This allows the depth test to occur before the pixel shader is executed (technically the GPU is supposed to waste time executing the pixel shader, then throwing away the results if the depth-test fails -- 'early Z' fixes this), and the pixel shader is skipped if that pixel doesn't have to be drawn. However, this is only an advantage when rendering opaque geometry from front-to-back -- it is of no use when rendering translucent geometry from back-to-front.
Oh nice! Thank you that is what I was waiting for.