I'm not sure exactly what's going on, but when running the Windows version of Emacs under XP under Parallels, I'll get occasional beach balls and unresponsiveness. It looks like Emacs gets into some sort of weird window refreshing loop (the Emacs window's menu bar flashes some) and hits the host hard with lots of updates to the VM's frame buffer. Things will go bonkers for 5-10 seconds or so and then be ok again. It seems to happen more often if you have two frames open and switch between them. This very well could be an Emacs problem but it does seem to bring Parallels to its knees temporarily which might be avoidable.
