How to benchmark a SQL Server Query?
set showplan_text on will show you the execution plan (to see it graphically use CTRL + K (sql 2000) or CTRL + M (sql 2005 +)
set statistics IO onwill show you the reads
set statistics time onwill show you the elapsed time
Use SQL Profiler.
For .NET applications, filter that Application name by '.NET%' and you'll omit other extraneous queries.
+1 on the execution plan. From here you can see where all the time is being spent in your particular query. Eg. 85% of the time is spent table scanning a particular table, can you put an index on that table to improve it? etc etc.