There is sometimes a HUGE performance penalty (2:1) to be paid for using VARCHAR(MAX) depending, of course, on what you're doing. Correct sizing is always important. I'd dare say the same would be true for most any language... even .Net.
Well, the person I was responding to never mentioned anything about performance, he just wanted a text field that can be any length in T-SQL, and I was pointing out that already exists. 🙂