Actually, I can't speak for vb.net, but can for vb6. There's a definite performance boost in the latter. I suspect there is in fact a boost in .net as well, although I wouldn't be able to say anything definitive one way or the other.
The performance boost in VB6 derives from the fact that the object reference only has to be parsed once for each with statement, rather than once for each property assignment and method call in that with statement as would be the case if the object variable were referenced every time. I don't know if IL resolves multiple sequential calls to the same object reference or not; if it does, then perhaps the with statement doesn't confer a performance benefit. Otherwise, one would think that it would.
Earthandfire, perhaps you can shed light on the subject.
Bob