Small reminder: the big O
notation is used to denote asymptotic complexity (that is, when the size of the problem grows to infinity), and it hides a constant.
This means that between an algorithm in O(n) and one in O(n2), the fastest is not always the first one (though there always exists a value of n such that for problems of size >n, the first algorithm is the fastest).
Note that the hidden constant very much depends on the implementation!
Also, in some cases, the runtime is not a deterministic function of the size n of the input. Take sorting using quick sort for example: the time needed to sort an array of n elements is not a constant but depends on the starting configuration of the array.
There are different time complexities:
Average case (usually much harder to figure out...)
...
A good introduction is An Introduction to the Analysis of Algorithms by R. Sedgewick and P. Flajolet.
As you say, premature optimisation is the root of all evil
, and (if possible) profiling really should always be used when optimising code. It can even help you determine the complexity of your algorithms.