Plugging my own video, I think it's pretty entertaining for a talk a performance, even has some content. :)

http://gotdotnet.com/team/clr/about_clr_performance.aspx

The points from the key slides are

 Rule #1: Measure

• Just thinking about what to measure will help you do a good job
• If you don’t measure you can be sure it will be slow, big, or whatever else you don’t want
• If you haven’t measured, your job’s not finished

Rule #2 : Do your homework

• Good engineering requires you to understand your raw materials
• What are the key properties of your Framework? Your processor? Your target system?

Performance Culture

1. Budget

• An exercise to assess the value of a new feature and the cost your customer would be willing to pay, not a technical assessment of what is possible

2. Plan

• Design and validate against the budget, this is a design plan and a risk assessment

3. Verify

• Measure the final results, discard failures without remorse or penalty, don’t make your customers live with them