(Image Caption: AirPort Utility: An AirPort Express can be connected wirelessly, indicated by the dotted line in AirPort Utility, to an existing network to provide fuller coverage.) While the previous AirPort Express (2008) supported 802.11n networking, you had to make a choice to set the Express to use either the 2.4GHz or 5GHz band available for 802.11n, not both at the same time (known as simultaneous dual-band).
All older 802.11b and 802.11g gear can connect only using 2.4GHz channels. This is also true of a fairly large amount of newer equipment that supports 802.11n, but only for 2.4 GHz connections, which includes all iPhones and iPod touch models with 802.11n, many smartphone and handhelds, and even some newer computers. All iPad models, the Apple TV, and all Mac models released since 2006 can use either 2.4GHz or 5GHz. (The 5GHz band offers much greater throughput but only at closer distances than 2.4GHz.)
Having both bands available at once in the 2012 AirPort Express (a feature added in 2009 to the Extreme and Time Capsule models) allows your network to perform at the highest possible speeds no matter how distant a device is from the base station while it remains in range of a signal. That's a significant improvement, and makes the Express a much better value, especially compared with equipment from competing manufacturers, such as Linksys. Competitors have offered relatively inexpensive simultaneous dual-band gateways for years, but those models lack Mac-specific features, such as Wake on Demand.
The AirPort Extreme and Time Capsule models (since 2009) have one advantage in the radio department over the Express. In 802.11n, the radio system can use varying amounts of power across the multiple antennas used to send out data to "steer" a signal (think of multiple cue sticks hitting a pool ball to control how it caroms), and create separate data streams at full throughput across different paths in space. The Express has two streams, while the Extreme and Time Capsule offer three.
This approach allows a three-stream router, like the Extreme, to have an effective raw throughput of 450 Mbps in 5GHz and 225 Mbps in 2.4GHz, while the Express is limited to 300 Mbps and 150 Mbps, respectively. In practice, the net throughput might be just 10 to 30 percent higher for an Extreme or Time Capsule over an Express (say 130 Mbps instead of 100 Mbps), and if you're that concerned about throughput, you may need to use wired connections in any case. Apple's AFP file-sharing typically peaks at much lower rates than these maximum data rates.