I was reading CJCraft's Blog today (check CJ's cool new “Creating a desktop remote control“ article on Code Project) and stumbled across an entry that points to an interesting performance presentation by Jim Wilson, get it here:
http://www.jwhedgehog.com/downloads/NETCFMaxPerf.zip

Another great performance resource is a MSDN article by Jon Box and Dan Fox:
http://msdn.microsoft.com/mobility/default.aspx?pull=/library/en-us/dnnetcomp/html/netcfperf.asp