ADO.NET team made a blog post in which describes the how much the performance is improved by SP1.

For a complex real world web application, like Petshop, the improvement is not so big, since the application does many other things in addition to data access, but still you should get part of the benefits.

A summary of our lab numbers, just as a reference of how much improvement you can get:

Scenario .NET FW 2.0 .NET FW 2.0 SP1 Improvement
SqlReader 14855 18100 27.3%
DataSet insert 9637 12890 40.8%
Pet Shop 4.0(Browse the store) 22.44 24.40 8.72%
Pet Shop 4.0 (Buy some pets) 21.54 23.04 6.99%

* Average throughput, over a set of runs, on 4 proc dual core servers with W2K3 SP1, 16 Gb. of RAM, with a sample average load (not by far peak capacity). Hardware differences, network conditions and the way your scenario is written affect performance, among many other things, so your mileage may vary.

If you haven't installed it yet - go for it. You can only benefit from it!