In my particular case my Windows 7 laptop was running very hot while the screensaver was on or system was locked. I would sometimes have to unlock it just to let it cool down.
By leaving task manager running and checking after unlocking system, I was able to isolate the issue to the SetPoint.exe process, which is Logitech's SetPoint utility for their mouse and pointing devices. The process was spiking the CPU usage and causing it to stay high indefinitely. I don't know what SetPoint is trying to when the system is locked, but I am using the latest version as of this answer - v6.61.15.
Once I stopped this program, my laptop is no longer overheating after going into screensaver/lock mode.
For more info see http://forums.logitech.com/t5/Mice-and-Pointing-Devices/high-cpu-dwm-exe-due-to-setpoint-in-win-8/td-p/923142/page/9.