This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
A few ideas:
1) Don't return any columns you don't need.
2) Return the data in batches. (Also consider what you are doing with the data and why you need so much. Unless you are downloading a huge report, you may need less data than you first think.)
3) Test the performance early to see how it meets your expectations.