SQL Performance And Tuning Question

I have a problem that is more complex than the one that follows, but if someone can answer this question,
I believe I can take it from there in solving my real problem.

Why does:

create table #bbb (c int)
set nocount on
declare @a int
select @a = 1
while (@a < 5000)
begin
select @a = @a + 1
insert into #bbb values (@a)
end

run in about 2 seconds, while:

create table bbb (c int)
set nocount on
declare @a int
select @a = 1
while (@a < 5000)
begin
select @a = @a + 1
insert into bbb values (@a)
end

runs in about 20 seconds? (The only difference is that one uses a temp. table.)

What could I have configured incorrectly to cause this behavior?

Thanks in advance!

Palmer