Game support just now is limited to Ghost Recon: Advanced Warfighter - my thanks to Ubisoft for access to the full-game prior to release - Bet on Soldier and Rise of Nations.
GR:AW is largely graphics limited at 1280x1024 - our chosen test resolution - so keep that in mind when you look at the following graph data.
You can see three pronounced dips in performance, corresponding each time to your author lobbing a grenade at a car and it being blown up. GR:AW uses the PhysX PPU to enable more bits of debris during explosions, enhancing their visuals. Each performance dip a combination of data being generated for the PPU to work on, moved to the PhysX board, sent back when done and then made use of. All that adds up to latency. Then the extra visuals to be rendered by the game, largely just some alpha-blended sprites.
The sprites are identical - if there's more than one variation I can't spot it - and just scaled, rotated and blended to give the illusion of randomness. They don't persist, fading out after a short time.
While it's impressive the first few times you witness it, you soon spot the illusion and the smaller particles not persisting ruins the realism. Videos abound on the web of the GR:AW effects in action. It's 'Ooooh'-worthy the first few times, but that's about it.
Bet on Soldier employs much the same tactic, using the PPU to enable visual effects. The PPU does work intermittently, but a large amount of game physics is still done on the CPU in both titles.
If you think that such a limited analysis is a bit off, it's largely because there's simply not much to show you, or explain. And therein lies the rub with this first wave of PhysX-enabled games. Let me explain.