Don't pass an IEnumerable to the List constructor. IEnumerable has a ToList() method, which can't possibly do worse than that, and has nicer syntax (IMHO).
That said, that only changes the answer to your question to "it depends" - in particular, it depends on what the IEnumerable actually is behind the scenes. If it happens to be a List already, then ToList will effectively be free, of course will go much faster than if it were another type. It's still not super-fast.
The best way to solve this, of course, is to try to figure out how to do your processing on an IEnumerable rather than a List. That may not be possible.
Edit: Some people in the comments are debating whether or not ToList() will actually be any faster when called on a List than if not, and whether ToList() will be any faster than the list constructor. At this point, speculating is getting pointless, so here's some code:
using System;
using System.Linq;
using System.Collections.Generic;
public static class ToListTest
{
public static int Main(string[] args)
{
List<int> intlist = new List<int>();
for (int i = 0; i < 1000000; i++)
intlist.Add(i);
IEnumerable<int> intenum = intlist;
for (int i = 0; i < 1000; i++)
{
List<int> foo = intenum.ToList();
}
return 0;
}
}
Running this code with an IEnumerable that's really a List goes about 6-10 times faster than if I replace it with a LinkedList or Stack (on my pokey 2.4 GHz P4, using Mono 1.2.6). Conceivably this could be due to some unfortunate interaction between ToList() and the particular implementations of LinkedList or Stack's enumerations, but at least the point remains: speed will depend on the underlying type of the IEnumerable. That said, even with a List as the source, it still takes 6 seconds for me to make 1000 ToList() calls, so it's far from free.
The next question is whether ToList() is any more intelligent than the List constructor. The answer to that turns out to be no: the List constructor is just as fast as ToList(). In hindsight, Jon Skeet's reasoning makes sense - I was just forgetting that ToList() was an extension method. I still (much) prefer ToList() syntactically, but there's no performance reason to use it.
So the short version is that the best answer is still "don't convert to a List if you can avoid it". Barring that, actual performance will depend drastically on what the IEnumerable actually is, but at best it'll be sluggish, as opposed to glacial. I've amended my original answer to reflect this.