Are All Calories Equal?

A hot topic these days seems to be whether "all calories are created equal".  In other words, do protein, carbohydrate, or fat calories have different effects on energy balance?

From my perspective, I would almost be surprised if the different macronutrients did have the same energy impacts, rather than the other way around.  It's not like the body is machine, where it burn all types of calories at the same. 

Here is a great paper that answers most questions on the issue.  It discusses the second law of thermodynamics and how the idea that "a calorie is just a calorie" doesn't really add up.