Explicit schemes are usually unstable and the maximum time step is usually limited by spacing of the grid points.
Good implicit schemes are unconditionally stable, and the time steps can be chosen (for a given accuracy) depending on the speed of the temperature change. The time steps can also be changed for different parts of the calculation (e.g. increased as the temperatures approach a steady state condition)
The amount of calculation to do one step is usually bigger form an explicit scheme, but the reduced number of steps (maybe by a factor of 1000 or more in real-world applications) means the implicit method "wins" overall.