It depends on the relative cost of what you're doing of course, but in general, yes, the cost of entering the kernel can be impactful, if you are making a lot of calls into it, since a lot of work has to happen every time.
There are definitely user-land TCP/IP implementations, thread implementations (Go's being particularly notable) and even file systems (FUSE).
There are definitely user-land TCP/IP implementations, thread implementations (Go's being particularly notable) and even file systems (FUSE).