A Microsoft developer has posted a GDI vs. GDI+ Text Rendering Performance article on his blog which answers the raw speed question: on his system, GDI DrawText was about 6 times faster than GDI+ DrawString.
If you need to be a real speed demon, TextOut is faster than DrawText, but you’ll have to take care of clipping and word-wrapping yourself. ExtTextOut supports clipping.
GDI rendering (TextRenderer) will be more consistent with other parts of Windows using GDI; GDI+ tries to be device-independent and so some spacing and emboldening are inconsistent. See the SQL Server 2005 Surface Area Configuration tool for an example of inconsistent rendering.
5000+ text rendering is slow even with GDI, especially if you need scrolling. Create a separate rendering thread and notify the UI thread every 200 ms and bitblt the current results. It gives a smooth user experience.
GDI is faster at drawing in general that GDI+. I worked on a project that had to draw thousands of lines and text strings and switching from GDI+ to GDI made a significant performance improvement. That was using Windows XP so I cannot comment on Vista. I would also recommend using double buffering for your drawing to also improve performance. Create a compatible off screen bitmap and reuse that each time you need to draw.