I will give you a network answer since you posted this to a network forum but if you mean the actual servers running application such as VNC or RDC I will have to defer to one of the server guys who is around here.
Pretty much you have 3 things.
When you run a tunnel you put the data inside another data stream. This would be similar to if you had a shipment and you didn't want people to see the writing on the outside of a box so you put it in another plain box. This adds a between 50-60 bytes to every packets (for ipsec tunnels). What percentage of overhead this is depends on the packet size but it is generally a few percent but for some voice data it can be close to 40%
Next you have the pure CPU load it takes to encrypt the...