Soma just blogged about VS 2008 Performance Improvements.  There is some good info in his post.  One of the things he mentioned was:

"For example, with the new LINQ facility we set a goal that LINQ performance be significantly better than using a SqlDataAdaptor for the same query and competitive with using a SqlDataReader, the lightest weight interface available for retrieving data from SQL Server.  In our testing, LINQ does in fact out-perform SqlDataAdaptor on almost every test case we tried, and in many of the exceptions, it is no more than 10% slower than using a SqlDataReader to accomplish the same task.  Given the power of LINQ, we feel this is a very reasonable trade-off."

-Marc