Filling the array with byte values of 0xff produces NaN.  Try this code to see what is fastest on your machine.  Memset() is not always a slam-dunk btw:
using System;
using System.Runtime.InteropServices;
using System.Diagnostics;
class Program {
  static void Main(string[] args) {
    var arr = new double[10 * 1024 * 1024];
    for (int loop = 1; loop < 20; ++loop) {
      var sw1 = Stopwatch.StartNew();
      for (int ix = 0; ix < arr.Length; ++ix)
        arr[ix] = double.NaN;
      sw1.Stop();
      var sw2 = Stopwatch.StartNew();
      memset(arr, 0xff, 8 * arr.Length);
      sw2.Stop();
      Console.WriteLine("Loop: {0}, memset: {1}", sw1.ElapsedMilliseconds, sw2.ElapsedMilliseconds);
    }
    Console.ReadLine();
  }
  [DllImport("msvcrt.dll")]
  private static extern void memset(double[] array, int value, int cnt);
}