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It's difficult to give a simply answer to this question. I know little about Linux benchmarking programs, though I recommend a Google search. Personally, I just go by feel, but often it is nice to actually have hard numbers. Anyway, as far as the best performance goes, the answer is it depends. If you have top of the line hardware, the 2.6 kernel should theoretically be the fastest. Considering this kernel is not quite ready for primetime (though I find it quite stable), it may not be the best in all cases, especially if it has a problem with your hardware in any way. As long as you have decent/recent hardware, you should have excellent performance with a 2.4 kernel. Regardless of which kernel you choose, configuring it by hand and compiling it yourself is the best way to get optimal performance. Unfortunately, most users are not really experienced enough to properly configure a kernel for their machine, and an improperly configured custom kernel can be much worse than a standard pre-compiled kernel from a "normal" distro. I am of the contention that Gentoo provides the best way to create an optimized Linux system, complete with fairly simple kernel customization that allows more options than simply secure or standard, or whatever the choices may be. It also stands to reason that the more extra features you have on, such as security, the larger of a performance hit you will take. I don't guarantee that everything I said here is 100% accurate, though it is intended more as a common sense thought process. Good luck achieving the best performance possible!
In addition to what nial posted you could always use some performance-enhancing patches. The preemptible kernel patch, which improves responsiveness of the system, is integrated in the 2.6 kernel but you need to download and apply the patch to the kernel source tree if you're using the 2.4 series. The lowlatency patch also provides better performance (especially in audio applications).
I always apply these two patches before I configure and build the kernel. I find they both add that little extra bit of responsiveness to the degree where I can actually notice it when just "using" my laptop (browsing, reading mail, using the Gimp, etc).
As a general rule, a small kernel is a fast kernel. If you compile a custom kernel, only include what you actually need. You don't need SCSI support if you only use IDE. You don't need fancy networking support unless you're running a dedicated firewall or something. If you aren't sure about something, compile it as a module.
If you are talking vanilla sources then 2.6 will be the fastest as it has the O(1) scheduler. I have noticed better desktop performance in general. Gentoo has different patched kernel sources depending on what you want. The gaming-source is supposed to work well for desktop acceleration, naturally.
I run vanilla sources and gentoo-stable sources and I think the 2.6 has better performance then both. My Slackware 9.0 is running 2.6.0-test1 and has over 105 days uptime with 1.0+ load consistently. It is a PIII 800 and benches along 1.8 GHz machines. Take in mind this is not running X. It is specifically designed to perform one purpose, but the kernel is running fast and fierce.
I've seen the benchmarks for the new 2.6 kernel and they blow the 2.4 kernel out of the water in speed. I like the new kernel myself and see a big inprovement in my programs and other things. If your willing to take the time to install the new kernel 2.6 (stable released now), then do it. It is worth it.