It's about as good as completely dry air in terms of performance (resistance to pressure increase with heat).
It's the water in air that causes it to expand with heat. Most air pumps have some moisture in the air. That's what causes the pressure to rise when the tire heats up. Ideally, you don't want the temperature to decrease at all.
Another nice thing is nitrogen escapes from tires slower than normal air (bigger molecules). This means you need to check it more often.
If you want to try it, go to your local Costco. Most have switched over to nitrogen. It's free. Deflate your tires as much as possible, refill, repeat.
