yes a bit.. same as adsense does.. actually it doesn't slow down your website, but at the client side it will look like your site is slower, because the users webbrowser will not only connect to your website but also to google for each page to display
For a tip, place the Google Analytics code in the bottom of your page and not the top. This way if there is ever a slow down with GA your site will still load just fine, the GA javascript conection will only lag.