Is it a good or bad idea throwing Exceptions when validating data?

Personally I like throwing Exceptions for business rule validation (not so much for user input validation) because it forces the problem to be handled upstream. If my business objects returned some kind of validation result, it could be ignored by the caller. Call me a cowboy if you wish :)

Everyone here is repeating the phrase "exceptions are for exceptional circumstances", but that really doesn't give any understanding of why its bad to use them for unexceptional circumstances. I need more than that. Is the performance hit of throwing exceptions really that bad? Are there any benchmarks available?

I'm going to repeat the mantra here: throwing exceptions should be done in exceptional circumstances. Invalid entered data is really not that exceptional.