Today I was faced with a problem where the close method on a SQLDataReader took ages – well 10 seconds or so – to complete.

Then I read the following snippet from the documentation:
The Close method fills in the values for output parameters, return values and RecordsAffected, increasing the time that it takes to close a SqlDataReader that was used to process a large or complex query. When the return values and the number of records affected by a query are not significant, the time that it takes to close the SqlDataReader can be reduced by calling the Cancel method of the associated SqlCommand object before calling the Close method.
http://msdn.microsoft.com/en-us/library/system.data.sqlclient.sqldatareader.close.aspx

So I tried calling cancel on the command prior to closing the reader and presto – the SQLDataReader closed very fast.

Once again, reading the documentation solved my problem and from this day on, I'll try to cancel the command prior to every close, just to see if it saves some time :)