In the past couple of years, I had the unique opportunity to lead of team of developers building one of the highest (if not THE highest) volume .NET application in the world. With more than 3 billion requests per day and an SLA of 99.99% of requests under 250ms, we had some exciting challenges. Because the application was so performance intensive, we heavily utilized a huge in-memory cache. Because of the size of our cache, we had some interesting challenges to overcome with .NET garbage collection in order to satisfy our SLA. This led us to working with Microsoft to implement GC Notifications which were released in .NET 3.5 SP1.
Of course the details of this could be a white paper unto itself but here is a 20 minute interview on ARCast.TV explaining some of the details.