There would indeed be a significant bottleneck by the expresscard interface; but if you look at the DIY eGPU thread on the notebookreview forums, they say that e.g a GTX 560Ti will still give you an appreciable performance increase over Intel HD 3000 alone.
On Youtube, /watch?v=36FNJsYhLb4, Battlefield 3 runs smoothly (35-60 fps) on Ultra (as opposed to 7-8 fps on Low on Intel HD 3000).
The whole process, however, of building your own eGPU, remains complicated, and much more expensive than say a console (keep in mind that you need another monitor! can't use the laptop's). So if you are somewhat tech-savvy, really determined AND have the money, know that it is possible. The thread I mentioned is really well made.
It's also a giant 900 page thread, it's easier to read the summary.