I have been waiting for this information for quite some time!

The ADO.NET team blogged about ADO.NET performance improvements with the .NET Framework 2.0 SP1.

This ".NET Framework 2.0 SP1" is what we have in VS2008.

Work on the thread pool scalability resulted in notable performance gains with SqlDataReader.

"Particularly improved were scenarios like Data set insertion, and multi-threaded scenarios (such as ASP.NET applications) using SqlDataReader (25% better or more, depending on hardware and OS architecture)."

What they are talking about here is when you do something like DataSet.Load(datareader) or sqlDataAdapter.Fill which behind the scenes does the DataSet.Load. They also show major gains in just iterating through a reader.

Code for testing yourself is provided in the blog post.