The fact that you can't use google and find SSE vs. x87 comparisons is kind of embarrassing.
http://users.ece.utexas.edu/~ljohn/wwc/wwc5/2_3.pdf
Try page 25, and note that the gains from SSE2 are larger today than they were 5 years ago, since CPUs can execute SSE and SSE2 operations in a...
I happen to agree with most of what kllnohj is saying here.
1. x87 is almost always slower than scalar SSE on a modern CPU. There are assuredly some corner cases where x87 is faster, but they are going to be exceptionally rare.
2. On some older processors (i.e. 130nm P4) there are more cases...