The mechanical pumps will always cost some HP, because they run off of the engine. But, which mechanical pumps are you referring to? The ones that bolt in the stock location or the ones that run off of the drive belt? The ones that are normally used for alcohol are set up for low pressure at idle, so they won't flood and then high pressure under higher rpms so that they can keep the bowls full.
If you are referring to the stock location style pump for a gasoline carburated engine, I would say that the electric pump mounted at the tank is the best because it pushes the fuel instead of sucking on it. The stock style mechanical pump heats the fuel and has a tendency to vapor lock when the under hood temps get higher. There are some classes that require a stock style fuel pump and there are some owners who do not want to change the car over to an electric fuel pump.
Bill M