Simon,
The File Geodatabase format offers the best performance for local datasets. For datasets that will be read-only you can also compress the Feature Classes in a File Geodatabase thereby improving performance even further. Using File GDBs also reduces the storage and if you do use the compression reduces the volume significantly (obviously depending on geometry type, unique attributes, etc).
Before compressing though you should confirm that each Feature Class has the optimum spatial index (there's a "Recalculate" button on the properties dialog) plus add an attribute index to any attribute field used for rendering / symbology. Then compress if you don't plan to edit that dataset.
You can also use Layer Packages - internally these use the File Geodatabase format to provide the best performance but also include the rendering information, and are easily shareable via ArcGIS.com too.
Regards
Mike