It's stable and has a time complexity of O(n). It should be faster than algorithms like Quicksort and Mergesort, yet I hardly ever see it used.
That O(f(n)) really means in order of K*f(n), where K is some arbitrary constant. For radix sort this K happens to be quite big (at least order of number of bits in the integers sorted), on the other hand quicksort has one of the lowest K among all sorting algorithms and average complexity of n*log(n). Thus in real life scenario quicksort will be very often faster than radix sort.