A curated list of awesome .NET Performance resources
github.com
github.com
Although this is all good stuff to know, if you are here trying to fix your applications performance problem, this is probably the wrong tree to bark up.
Consider someone trying to do a 3D game in C# vs a web application back end. The kind of performance pitfalls they run into will have no similarity.
There is also Glimpse (http://getglimpse.com/) which includes a few more things but has similar goals.
Glimpse looks awesome though and I'm surprised they're not charging for it.
Once you have the execution plan, you can either optimize the query, optimize the schema (add indices), or simply optimize the application (e.g: narrow the scope of the query, reduce call count). That however, won't allow you to horizontally scale.
The only realistic way to horizontally scale is sharding. Replication will slow down your writes as more machines are added and that simply does not scale. Using the same database for everything and everyone is a lousy way to go. Eventually you will need to keep things on different machines at some point.
Then, don't put large blobs into a database and store just the blob IDs in your database. Use another data store for that. Analytics, logging, etc doesn't belong into an OLTP database. Use another database for that not your OLTP one.
Side note I found a free pdf for analyzing execution plans in this stackoverflow answer (toward the bottom): http://stackoverflow.com/a/7359705/834579
Would you consider logging user actions, for reporting in website, as something that should be stored else where? In one case I can think of the table had about 7 million records, but nobody seemed concerned about it.
Therefore it's important to capture and analyze performance metrics _from production_. A really good commercial tool is SQL Sentry (http://www.sqlsentry.com/). You can, of course, patch together your own tooling from open source and homegrown solutions.
There are other things like akka.net, orleans, dotnumerics, accord, alglib. Infer.net for graph based models. A lot of others are proprietary.