I can think of a couple of things to try.
First go into SQL Server Configuration Manager and verify that shared memory is ahead of TCP/IP for the instance on your local machine. If not then you are using TCP/IP for connections to SQL, even if that connection is local and will be slower than shared memory in returning results.
Another thing to check is how SQL is authenticating you.
Is this instance of SQL on a domain or a workgroup? I wonder if the difference in performance you are seeing is due to the difference between Kerberos and NTLM authentication. Set SQL to use local system and then run this query:
select
auth_scheme,
login_name
from
sys.dm_exec_connections c
inner join sys.dm_exec_sessions s
on c.session_id = s.session_id
where c.session_id = @@spid
order by login_name
Note the authentication scheme used. If you are connecting to SQL over TCP it should list Kerberos. Now change SQL to use a local system account, restart and run the query again. If it says NTLM then I wonder if your performance difference is due to NTLM vs Kerberos authentication.
Joie Andrew
"Since 1982"