I've done some testing on SQL Server 2005 and 2008, and on both the EXISTS and the IN come back with the exact same actual execution plan, as other have stated. The Optimizer is optimal. :)
Something to be aware of though, EXISTS, IN, and JOIN can sometimes return different results if you don't phrase your query just right: http://weblogs.sqlteam.com/mladenp/archive/2007/05/18/60210.aspx