During the Banedanmark HTS project, the new announcement system described in my previous post, we experienced a relatively large overhead when the Window Forms .net client called our web services.
After searching the Internet I found this posting on via google groups, Web service calls seem too slow, in which the original poster (OP) experiences the same kind of overhead. In his last posting, the OP elaborates on the difference in overhead between anonymous web service calls and NTLM authenticated web service calls, and concludes that Windows Integrated authentication is the bottleneck.
The solution, as described in the last posting, is that you can set HttpWebClientProtocol.UnsafeAuthenticatedConnectionSharing to true. You will gain performance and still have NTLM authentication, however, beceause of the reuse of server connections, you might expose security holes. So check out the links in the last posting and get familiar with the downsides before you start using it.
Cheers.