I just downloaded the map control and started playing around with it. As a test, I created a single map and loaded a shapefile containing all the counties in the United States (~3300 items, filesize 1.4MB for shp, 850K dbf).
The resulting map is very laggy when you try to pan and zoom.
Are there any tips for improving this performance?
try setting the VisibleFromScale property on that layer so that it's only visible when zoomed in to a small portion. then, include another MapLayer which is a shapefile of the entire US, or perhaps US States. that layer will be visible when the county layer is not visible. this setup will perform better, and is usually preferable for viewing as well.