Object Overhead

I'd like to use objects more and more on the web. I love the fact that it allows me to keep up with client "last minute changes" etc. I however, and somewhat concerned about the overhead. What is the process that occurs when objects get initialized on a page? If I write them into a database do I still pay that penalty? Is it possible to cache them somehow, so that I invoke them once and have them serve a number of pages, kind of like servlets? Please advise - I'd like to hear how others address this issue.