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Ian Griffiths has written a very deep and informative post about what WinRT really is, and what is meant by all this "projection" vs "native" business. It's a great read, and you should dig in. Especially if you're an old COM hand, like myself.

I have seen a lot of important questions floating around lately (most notably from @kellabyte) that this post answers. But it takes a long time and many diversions before it gets there. So for those who don't have the time or the background to wade through Ian's post, I humbly present a TL;DR bullet list summary.

WinRT appears to be the new Windows API. It is probably the next evolution of Win32.
WinRT is native, and just as fast as native has always been.
WinRT is rooted in the next evolution of COM, not .NET
WinRT involves just as much indirection (and "inefficiency", compared to COM-less native code) as COM always has.
WinRT "projections" are language-specific. For C++, they're native.
WinRT projections do no more and no less than smooth over much of the API for consuming languages, putting a curtain around the pain and noise of working with COM and HRESULTs directly.
WinRT projections are not the next .NET windowing framework. They do not replace WinForms, WPF, Silverlight.

I'll also add to this list my own prediction: We will probably not want to directly consume WinRT any more than we wanted to directly consume Win32. There will be value in a GUI framework to abstract that away, just as there always has been. I haven't heard any mention of the Metro-based successor to WPF/Silverlight, but I would expect one to be delivered with the next version of VS and .NET. I look forward to hearing more from DevDiv now that all the WinRT details are starting to trickle out.