There was a question asked about how to sort a List. There were several methods given from the basic List.Sort() to List.OrderBy(). The most laughable was a roll-your-own-SelectionSort. I promptly voted that down, but it made me think; wouldn't Linq's OrderBy(), applied to a list, do the same thing? myList.OrderBy(x=>x.Property).ToList() would produce an iterator that basically finds the minimum value of the projection in what's left of the collection and yield returns it. When going through the entire list, that's a selection sort.
Which made me think; what algorithms do the built-in sorters for Lists, SortedLists, Enumerables, etc. use, and by extension, should any of them be avoided for large collections? A SortedList, as it stays sorted by key, would probably use a single-pass InsertionSort on each add; find the first index with a value greater than the new one, and insert before it. Lists and Arrays probably MergeSort themselves pretty efficiently, but I don't know the actual algorithm behind Sort(). We've discussed OrderBy.
What I know above would seem to indicate that List.Sort() or Array.Sort() are the best options for a list of known size, and using Linq to sort an in-memory list or array should be discouraged. For a stream, there really isn't any other way then to OrderBy() the enumerable; the performance loss is mitigated by the fact that you can keep the data as a stream instead of having to have it all before sorting it.
EDIT:
The general consensus is that Sort() is faster given a concrete implementation of a List or Array. OrderBy is reasonable but slower because it adds O(N) complexity of extracting an array from the passed enumerable. SortedList initialization ends up being O(N^2) because of what's under the hood. Moral of the story, use List.Sort() instead of List.OrderBy() when you have an actual List.