If you use query_posts within a template page, WordPress will have already executed the database query and retrieved the records by the time it gets to your template page (that’s how it knew which template page to serve up!). So when you over-ride the default query with query_posts(), you’re essentially throwing away the default query and its results and re-executing another query against the database.
This is not necessarily a problem, especially if you’re dealing with a smaller blog-based site. Developers of large sites with big databases and heavy visitor traffic may wish to consider alternatives, such as modifying the default request directly (before it’s called). The ‘request’ filter can be used to achieve exactly this.