MARS should be turned off in your Connection String with Sql Server 2005
I've been doing a small amount of testing with the June CTP of Sql Server 2005 and ADO.NET V2. MARS is turned on by default in a SqlConnection. I would suggest turning MARS off, unless you need it. I am seeing a performance difference between having MARS turned on and off, just on regular ADO.NET commands.
You can use the SqlConnectionStringBuilder object and set .MultipleActiveResultSets = False
Update: Ok, how dumb was this. I misread my own code. I was explicitly turning MARS on and off while doing the performance test. I thought I was only turning this off. I feel so stupid.