以下是我个人经历中的几个例子:
Access to instructions that are not accessible from C. For instance, many architectures (like x86-64, IA-64, DEC Alpha, and 64-bit MIPS or PowerPC) support a 64 bit by 64 bit multiplication producing a 128 bit result. GCC recently added an extension providing access to such instructions, but before that assembly was required. And access to this instruction can make a huge difference on 64-bit CPUs when implementing something like RSA - sometimes as much as a factor of 4 improvement in performance.
Access to CPU-specific flags. The one that has bitten me a lot is the carry flag; when doing a multiple-precision addition, if you don't have access to the CPU carry bit one must instead compare the result to see if it overflowed, which takes 3-5 more instructions per limb; and worse, which are quite serial in terms of data accesses, which kills performance on modern superscalar processors. When processing thousands of such integers in a row, being able to use addc is a huge win (there are superscalar issues with contention on the carry bit as well, but modern CPUs deal pretty well with it).
SIMD. Even autovectorizing compilers can only do relatively simple cases, so if you want good SIMD performance it's unfortunately often necessary to write the code directly. Of course you can use intrinsics instead of assembly but once you're at the intrinsics level you're basically writing assembly anyway, just using the compiler as a register allocator and (nominally) instruction scheduler. (I tend to use intrinsics for SIMD simply because the compiler can generate the function prologues and whatnot for me so I can use the same code on Linux, OS X, and Windows without having to deal with ABI issues like function calling conventions, but other than that the SSE intrinsics really aren't very nice - the Altivec ones seem better though I don't have much experience with them). As examples of things a (current day) vectorizing compiler can't figure out, read about bitslicing AES or SIMD error correction - one could imagine a compiler that could analyze algorithms and generate such code, but it feels to me like such a smart compiler is at least 30 years away from existing (at best).
On the other hand, multicore machines and distributed systems have shifted many of the biggest performance wins in the other direction - get an extra 20% speedup writing your inner loops in assembly, or 300% by running them across multiple cores, or 10000% by running them across a cluster of machines. And of course high level optimizations (things like futures, memoization, etc) are often much easier to do in a higher level language like ML or Scala than C or asm, and often can provide a much bigger performance win. So, as always, there are tradeoffs to be made.