If you’re using the HTML5 or XFBML version, you have to load Facebook’s JavaScript SDK – so that counts for your page’s load time, since it’s an external script resource directly embedded into your code. (Although normally loading is done asynchronously, so it won’t slow loading of the rest of your page down much and also won’t delay the load event.)
The iframe version on the other hand loads „on it’s own”, so to speak. Only the iframe element’s code is in your page, and loading it’s actual content is considered as loading a completely unrelated page by the browser. So how ever much time it’ll take the iframe document to load (in case of Facebook being „down” or slow temporarily), it won’t affect your own page and it’s load event in any way.
Despite these facts, I’d normally go with either the HTML5 or XFBML version – not so much based on the described factors, but rather because I feel I have more „control” over them (for example not activating them straight away, but maybe have them parsed only later on some user interaction with the page or so).