Went to an astonishing presentation by Thomas Kejser at SQL Bits where he demonstrated that IDENTITY and in fact NEWSEQUENTIALID() is far slower that GUIDs on SSDs and this is exacerbated by NUMA architecture.
The gist of it is that SQL Server has to keep track of where a sequential range is and this means marshalling across all parallelised resources which is very expensive. It is also has something to do with the tail of an index page being used.
Unfortunately the acoustics in hall were poor so if any of you attended his session then please fill in the blanks.
Keep an eye out for his presentation on the SQLBits website http://sqlbits.com/Sessions/Event9/Finding_the_Limits. The presentation isn't there yet but will be uploaded soon.
For those of you who haven't seen one of Thomas's presentations, he works at the extreme end of SQL Server performance and storage. What most people probably regard as science fiction!
24TB cube with 1,000 concurrent users and sub-second response times.