Lately I've been favoring using named pipes (option --enable-named-pipes) in MySQL running on windows, and connect via the .NET connector driver. It's often recommended for security purposes, but one thing it allows me to do is connect with "." as the connection string and develop on my PC and deploy to the server without having to change the connection string (to point to the server host instead of my own copy of the DB).
More than that, in my experience there is some speedup I've attributed to a latency advantage over TCP. Some references I've found online echo that:
http://www.waltercedric.com/component/content/article/1217.html
"We were testing successfuly MySQL 5.0 using named pipe, and what an increase in speed! 50% in the case of this big project First it may be a good idea to use the latest JConnector driver from MySQL"
http://dev.mysql.com/doc/refman/5.1/en/connector-j-reference-configuration-properties.html
"In simple performance tests, it appears that named pipe access is between 30%-50% faster than the standard TCP/IP access. However, this varies per system, and named pipes are slower than TCP/IP in many Windows configurations."
But in what "configurations" is it slower? Anyway, I've been proceeding on the assumption that it's faster for localhost access vs TCP, however, I haven't been able to find anything definitive. Perhaps it's more specific to the particular driver being used too.