Eugene touched on this, but let me expand a little ...

Join performance will be faster using as small of a numeric key as possible. Small is important because the index is stored on pages, so the smaller the datatype, the greater the number of records will be stored on a single page. Thus, SQL Server will have to look at fewer pages to get the data it needs. Numeric is important because SQL Server can make the fastest comparisons against numeric datatypes.

Now, all that being said, you're really only going to see a noticeable difference on higher end systems. My big suggestion would be to stay consistent with whatever you choose across the tables in your database.