OLEDB is much faster than the SQLClient, EXCEPT when it is access through ADO.NET. The drivers for OLEDB are written in native unmanaged code however, when you access these drivers through ADO.NET, you have to go through several layers (including an abstraction layer and a COM interop layer). The abstraction layer takes care of resource management such as managing memory handles to ensuring that garbage collection occurs correctly, changing data types and parameters to .NET types and converting the oledb buffer to row and column bindings. The COM interop layer takes care of marshalling passing messages from .NET to COM and vice versa including locking/unlocking/converting pointers.
Don't listen to anyone that makes false accusations about OleDB's performance without understanding how they tested it and what environment they used (managed code vs managed code). The only thing that slows OleDB down is the amount of plumbing that is required to get the native code to play nice with the managed code. Also keep in mind that the SqlClient .NET library has its own plumbing and IS NOT A NATIVE .NET library like most people think it is. The SqlClient libraries in .NET use the the SNINativeMethodWrapper and SNIPacket classes which are wrappers that marshal data between unmanaged code (sqlncli.dll) and managed .NET code. This is the undocumented truth and the reason why the .NET SqlClient will never be able to out perform the OleDB when you use OleDB in native unmanaged code.
In summary, if you are using 100% managed code, you will get better performance from the System.data.SqlClient. If you have a mixed environment, you will get far better performance talking to OleDB directly or to either sqlncli.dll (SQL2005) or sqlncli10.dll (SQL 2008). Keep in mind that both OleDB and ODBC are being updated by Microsoft and the latest OleDB drivers DO talk to the latest unmanaged native SQL client libraries. Microsoft recommend using OleDB in unmanaged applications when high performance is required.
See "SQL Server 2008 Books Online\Database Engine\Development\Developer's Guide\SQL Server 2008 Native Client Programming\SQL Server 2008 Native Client (OLE DB)" for more information.