Service Pack 1 for .NET 2.0 includes significant performance improvements for ADO.NET. We say they improvements are free because the changes do not require recompiling the code, any user installing the service pack should see at least some gains.
According to the ADO.NET Team Blog, SqlReader can see a 27% improvement and DataSet inserts get a whopping 41% improvement. SP 1 is included the .NET 3.5 Redistributables and SDK. Since they are not dependent on Visual Studio 2008, VS 2005 developers can also see these benefits.
Bruno Guardia, a Test Lead at Microsoft, said that at least some of the performance improvements should be seen even in proprietary data providers exposed via ADO.NET. While he did not go into detail, but he did mention some of these improvements come from bug fixes and from changes in the threadpool algorithm that make context changes more efficient.