Others have already mentioned that the stack can be faster due to simplicity of incrementing/decrementing the stack pointer. This is, however, quite a ways from the whole story.
First of all, if you're using a garbage collector that compacts the heap (i.e., most modern collectors) allocation on the heap isn't much different from allocation on the stack. You simply keep a pointer to boundary between allocated and free memory, and to allocate some space, you just move that pointer, just like you would on the stack. Objects that will have extremely short lives (like the locals in most functions) cost next to nothing in a GC cycle too. Keeping a live object accessible takes (a little) work, but an object that's no longer accessible normally involves next to no work.
There is, however, often still a substantial advantage to using the stack for most variables. Many typical programs tend to run for fairly extended periods of time using nearly constant amounts of stack space. They enter one function, create some variables, use them for a while, pop them off the stack, then repeat the same cycle in another function.
This means most of the memory toward the top of the stack is almost always in the cache. Most function calls are re-using memory that was just vacated by the previous function call. By reusing the same memory continuously, you end up with considerably better cache usage.
By contrast, when you allocate items in the heap, you typically end up allocating separate space for nearly every item. You cache is in a constant state of "churn", throwing away the memory for objects you're no longer user to make space for newly allocated ones. Unless you use a minuscule heap, the chances of re-using an address while it's still in the cache are nearly nonexistent.