I just finished helping a customer where their WCF performance was ONLY on par with WSE.   After a bit of slueth work it turned out to be in their implementation the WCF proxy was getting created (and destroyed) for every message.

(Imagine open a database connection for every insert)

Paul Glavich helped me on this and he did a great blog entry on the best way to share the proxy.

WCF Proxy Performance vs WSE V3

 

Also for more general information on WCF performance check out the MSDN article:

Increasing Middle-Tier Client Performance