There is an extensive comparison on MSDN between WCF and other Microsoft communication technologies, and this is the conclusion:
“To summarize the results, 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 find the entire comparison here.