What is the most efficient way to create HTML elements using jQuery?

Recently I've been doing a lot of modal window pop-ups and what not, for which I used jQuery. The method that I used to create the new elements on the page has overwhelmingly been along the lines of:

$("<div></div>");

However, I'm getting the feeling that this isn't the best or the most efficient method of doing this. What is the best way to create elements in jQuery from a performance perspective?

This answer has the benchmarks to the suggestions below.

I use $(document.createElement('div')); Benchmarking shows this technique is the fastest. I speculate this is because jQuery doesn't have to identify it as an element and create the element itself.

You should really run benchmarks with different Javascript engines and weigh your audience with the results. Make a decision from there.

personally i'd suggest (for readability):

$('<div>');

some numbers on the suggestions so far (safari 3.2.1 / mac os x):

var it = 50000;

var start = new Date().getTime();
for (i = 0; i < it; ++i)  {
  // test creation of an element 
  // see below statements
}
var end = new Date().getTime();
alert( end - start );                

var e = $( document.createElement('div') );  // ~300ms
var e = $('<div>');                          // ~3100ms
var e = $('<div></div>');                    // ~3200ms
var e = $('<div/>');                         // ~3500ms