This module:

module Q (foo) where
foo :: String -> [String] -> Bool
#ifdef FIRST
foo x _ | x `seq` x == "." = True
#else
foo x _ |         x == "." = True
#endif
foo x xs = x `seq` any (x ==) xs

should be compiled to the same code regardless of whether or not FIRST is defined. However, this is not the case; there is an extra case when FIRST is not defined:

$ ghc --version                                              
The Glorious Glasgow Haskell Compilation System, version 6.8.1
$ ghc -fforce-recomp -ddump-simpl -cpp -O -c Q.hs -DFIRST > 1
$ ghc -fforce-recomp -ddump-simpl -cpp -O -c Q.hs > 2
$ diff -U 1000 1 2
--- 1   2007-11-17 21:02:37.000000000 +0000
+++ 2   2007-11-17 21:02:39.000000000 +0000
@@ -1,33 +1,35 @@
 
 ==================== Tidy Core ====================
 Q.a :: GHC.Base.Char
 [GlobalId]
 [NoCafRefs
  Str: DmdType m]
 Q.a = GHC.Base.C# '.'
 
 Q.lvl :: [GHC.Base.Char]
 [GlobalId]
 [NoCafRefs
  Str: DmdType]
 Q.lvl = GHC.Base.: @ GHC.Base.Char Q.a (GHC.Base.[] @ GHC.Base.Char)
 
 Q.foo :: GHC.Base.String -> [GHC.Base.String] -> GHC.Base.Bool
 [GlobalId]
 [Arity 2
  NoCafRefs
  Str: DmdType SL]
 Q.foo =
-  \ (x_a5D :: GHC.Base.String) (ds_d6y :: [GHC.Base.String]) ->
-    case GHC.Base.eqString x_a5D Q.lvl of wild_Xc {
+  \ (x_a5D :: GHC.Base.String) (ds_d6w :: [GHC.Base.String]) ->
+    case GHC.Base.eqString x_a5D Q.lvl of wild_B1 {
       GHC.Base.False ->
-       GHC.List.any @ GHC.Base.String (GHC.Base.eqString x_a5D) ds_d6y;
+       case x_a5D of tpl_Xd { __DEFAULT ->
+       GHC.List.any @ GHC.Base.String (GHC.Base.eqString tpl_Xd) ds_d6w
+       };
       GHC.Base.True -> GHC.Base.True
     }
 
 
 
 
 ==================== Tidy Core Rules ====================
 
 
$

There is a little discussion in the thread where this was first reported: http://www.haskell.org/pipermail/glasgow-haskell-users/2004-June/006862.html