PhysX takes a huge load off the CPU. It supports features such as rigid body dynamics, soft body dynamics, ragdolls and character controllers, vehicle dynamics, volumetric fluid simulation and cloth simulation including tearing and pressurized cloth.
PhysX technology is used by the game engines Unreal Engine 3, Unity 3D, Gamebryo, Vision, Instinct, Diesel, Torque, Hero and BigWorld and is the physics platform of more than 300 video games.
And since Nvidia's acquisition of Ageia, they basically own the PhysX technology. ForceWare drivers disable PhysX hardware acceleration if a GPU from a different manufacturer, such as AMD, is present in the system.
So anyone running ATi/AMD cards are severely crippled. This lead to quite a few complaints as you can imagine, and subsequent patches (for each game) had to be released to resolve this issue.
For more information on PhysX check out the wiki link.
http://en.wikipedia.org/wiki/PhysX