MSDN has a good article on boosting performance of Windows Forms apps. It lists 12 performance tips (shown below), and details on how best to use them to your advantage.
* Load fewer modules at startup
* Precompile assemblies using NGen
* Place strong-named assemblies in the GAC
* Avoid base address collisions
* Avoid blocking on the UI thread
* Perform lazy processing
* Populate controls more quickly
* Exercise more control over data binding
* Reduce repainting
* Use double buffering
* Manage memory usage
* Use reflection wisely