MSDN introduce a Performance Comparison of Windows Communication Foundation (WCF) with Existing Distributed Communication Technologies.
The conclusion is that "WCF is 25%-50% faster than ASP.NET Web Services, and approximately 25% faster than .NET Remoting. Comparison with .NET Enterprise Service is load dependant, as in one case WCF is nearly 100% faster but in another scenario it is nearly 25% slower. For WSE 2.0/3.0 implementations, migrating them to WCF will obviously provide the most significant performance gains of almost 4x."
You can fine the entire comparison here.