The thing that seems to give the best speed is Microsoft's own Remote Desktop. Even UltraVNC with the GDI mirror driver isn't as fast, lags a bit even on a LAN. Most VNCs have been pretty slow for me - bearable on a LAN, but not elsewhere. The official RealVNC client is somewhat better than most of the others, but pretty duh; it's commercial software.
It's been a while since I tried any of the dedicated "remote control" applications, but back then most suffered the same problem as the VNC clients: they poll and grab screenshots.
By the way, Remote Desktop and VNC should *always* be used through VPN or a SSH tunnel. *always*.
The problem with Remote Desktop is that, unless you're on a terminal server, it will log off the active user (well, switch-user on XP).