<p>I read somewhere in the Microsoft documentation that the content of the ASP.NET's <strong>web.config is cached</strong>. If that is true, <strong>where</strong> is it cached - in <strong>memory or on disk</strong>?</p>

<p>And a follow-up question: are there any performance considerations I have to make, if I have to access the web.config intensively?</p>

I think that the web.config is cached in memory (in object instances from System.Web.Configuration). Those are reloaded when the .config file is changed (and thus reloading your web app).
Hitting those objects is unlikely to give you a performance bottleneck. But if you have to do parsing etc, you might want to hold on the the parsed objects.
[Extra] I good practice (I think at least) is to create static properties in your global.asax.cs file for you appsettings. You can instantiate those properties in the application_start method and use them through out your web app. This prevents you from using hard-coded string (configuration keys) throughout your code.