Depends on the motor. You can have a low-RPM high-voltage motor or a high-RPM low-voltage motor (think a battery-operated dremel).
Ex 1: AFM-140 is a 167 kW 40 kg motor that revs to 5000 RPM at 600+ VDC.
http://www.evo-electric.com/inc/files/AFM-140-Spec-Sheet-V1.1.pdfEx 2: Zero's 75-7 motor (50 kW 18 kg/40 lbs) revs to 7000 RPM at ~110 VDC. Zero's motor is a bigger motor than the Brammo Empulse's 16 kg/35 lbs motor, so perhaps it is not surprising that it makes more peak power with the same battery voltage and controller.
A gearbox/motor combination DOES have exactly this tradeoff vs direct-drive: for a fixed weight/packaging budget, you are giving up a larger motor in order to use a transmission. Brammo's gearbox weighs in at 11 kg/25 lbs, so the combination motor/gearbox is 27 kg/60 lbs or 9 kg/20 lbs more than Zero's 75-7 motor.
Now look at basic performance specs:
2014 Zero SR ZF14.2 is 452 pounds, 3.9s 0-60 (spec claim), 102 mph vmax (peak). Gearing is 30/132.
2013 Brammo Empulse R is 470 pounds, 4.8s 0-60 (as tested), 107 mph vmax (continuous).
Now run the Zero with 25/98 gearing. 0-60 time increases to 4.4s, gearing-limited vmax increases to 114 mph.
Granted we're looking at tested 0-60 acceleration vs claimed 0-60 acceleration, but it'll have to do until we get a true head-to-head comparison. With that said, it looks like a 40 pound direct-drive setup can offer both better acceleration and higher top speed than a 60 pound motor/gearbox setup.
Zero's passive cooling setup, even on the SR, is substantially weaker than the Empulse, and accordingly its sustained top speed is significantly lower. But presumably this could be solved with a well-sized liquid-cooling setup.
The other thing worth mentioning - and I recall Brian earlier citing this as a reason for selecting a gearbox - is that for a given power requirement, motor efficiency will typically improve when the motor is placed in its sweet spot rather than when operated at the RPM dictated by vehicle velocity.
As an example, look at the AFM-140 motor efficiency map.
At 5000 RPM and maximum continuous torque output (140 Nm), it is producing 73 kW at 92% efficiency. If the motor had a gearbox, then the same 73 kW power output could be instead produced at 3500 RPM / 200 Nm torque, which is 94.5% efficient. I guess the overwhelming majority of the efficiency loss is heat produced in the motor, so heat production at this output level would be reduced by around 30%.
The gearbox won't be 100% efficient, so it's likely that battery power draw would be similar between the two setups and heat would effectively "move" from the motor to the gearbox.