Just to keep this up to date, I have since done a lot of research and testing. I have 2 Vanilla Evga Gtx 480's, have tested them all kinds of combinations and borrowed my neighbors Gts 250. One 480 by itself will run a game and the Physx processing just fine on it's own, you get about a 7% drop in fps in Batman AA and Cryostasis when you run Physx>>Gpu. However, with the new 257 drivers, if you have a 4+ core cpu, you can set it to Physx>>Cpu, no drop in fps at all.
When in Sli with the 2 480's and the Physx set to automatic it doesn't seem to affect them at all. If you add the Gtx 250, not in Sli but have the drivers dedicate Physx to it, it will bring down the fps by 9-11%. If you have the Physx run on the second 480 in an x16 slot it only dropped the fps about 3%, more in Cryostasis than in Batman, perhaps it's something to do with DX11?? When you set the 2 480's to Sli and put Physx off on the Cpu, there is no difference than when set to automatic.
I haven't run them with the Physx indicator on yet to see where it's being handled so don't ask, I don't know. I got delayed by one DOA card and one defective card, I had to start all over. I will know in a week or 2.
For you Nvidia fanboys, one Gtx 480, in most benchmarks and games will beat out a 5870 with 100Mhz overclock by 30 to 36.7%. So the ATI fanboys that tell you the $100- extra you pay for a 480 isn't worth it. If you pay $400- for a base 5870 and $500- for a base 480, then you've paid 8% more for an 18% performance gain. I think it's worth it.