Here are some links to some interesting articles about the effects of iron deficiency on fatigue and exercise performance. What is particularly interesting is the failure of the body to respond to exercise training while in an iron deficient state. I spent most of 2011 in an iron deficient state and other than the recurrent episodes of fatigue and muscle discomfort, I was very perplexed by the complete lack of response to exercise training. Despite regular exercise, it wasn't getting any easier and my times weren't getting any better.
The major effect of iron deficiency on muscle enzymes and hence muscle function and exercise capacity discussed in some of these articles helps explain the failure to respond to exercise training. Interesting stuff!
Camille Herron also has lots of useful info here: