First of all... Thank you for your responses...
Secondly, yes, I understand that the DAL approach is one that Microsoft currently touts as best practice, but I guess, where I'm not clear, is whether I am doing something wrong, or if the DNN DAL, or any DAL for that matter is inherently slower.
Test Case: Pulling 8,000 rows from a 100,000+ rows SQL database table.
Note, that this was done with both the site and the database locally on a Pentium-D with 4 Gig of Memory running Windows XP Pro SP/2. IIS and SQL 2005 Standard Edition also used in the test.
For the first test, I removed all indexes from the table, and tried pulling the data (using a stored procedure):
Using DAL: 82 seconds
Using ye-old Database Connection & command objects: 44 seconds
Adding the Primary key back onto the table, I ran the same two tests again:
Using DAL: 28 Seconds
Using ye-old Database Connection & command objects: 19 seconds.
Note that I realize these times seem slow, even with the primary key, however, the Stored Procedure is a little complicated and the original database table setup yields much faster results. I did this to demonstrate the differences.
I'm not doing anything out of the ordinary, but it seems like passing through the DAL slows me down significantly. I have seen that by altering my stored procedures and tables (ie indexes) that are used with the DAL, I can widdle the DAL's performance down to almost the same performance. The difference is not even worth mentioning at that point.
I guess the bottom line is, is the DAL really slower, or did it just unveil problems with my stored procedures and indexes that the old Database connection objects didn't really care about? Perhaps the DAL is teaching me that I suck at writing stored procedures??? 
I would like to know your thoughts... In the meantime, I will stick with the DAL, after all, it is what Microsoft touts as the way to go (this year!).
Again, thanks for the responses!!