I think this is a big issue that a lot of people are running into lately as dnn becomes more popular.  I just ported a old site to dnn and its is significantly slower than the old one.  This is definatly something that needs to be worked on.  The functionality and options you have with dnn are great but there hasn't been any definitive answer on how to solve speed issues as of yet.  I think for now you just have to sit tight unless your willing to try some hacking at the core yourself.  A lot of people say that it is because of the all the hits to the db but i dont see that as being a problem. lots of portal programs use a db to store info and are much faster. we need some core members to comment on the issue.