Optimiztion of Windows Application

avoid data base connections in loops
avoid unnecessary conversions

Hello

1.The thing that is a big headache of performance is handling exceptions.So, if you create your own ApplicationExeptions, try to avoid throwing them rather that handle them afterwards.However, do not remove try ...
catch blocks, they can reduce performance ONLY when they handle real exception.

2.Write code with explicit type conversions(do not let CLR do type conversions instead of you), because it also reduces performance significantly

3.You can try using insertions of C++ code, when you are handling rather complicated calculations

4.Try avoid using Switch{} within another switch{}

5.Do not use System.Drawing features(cause they are based on old engine)

You got it man.....Here you go....It contains a massive collection.

Best Practices

Some Best Practices for C# Application Development[^]

Some Best Practices for C# Application Development (Explained)[^]

EDIT
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Yeah Now Agree with SA because don't want that mislead(refer the comments below my answer). So careful with things(select only what you want).

Optimizations

C# Optimization Tips and Secrets[^]

Writing Faster Managed Code: Know What Things Cost[^]

Writing High-Performance Managed Applications : A Primer[^]

Performance Tips and Tricks in .NET Applications[^]

Rico Mariani's Performance Tidbits[^]

Optimization 101[^]

Database Optimizations - .NET

Tips For Database Optimization/Operations with C#[^]

Few tips to optimize code:
1. Use StringBuilder instead of String (for manipulation )
2. Use List<>/ Dict<,>; instead of arraylist/ Hashtable....
3. Use Try Catch only when necesssary...
4. Use Asynchronous Programming where ever possible.