There was a discussion at my place on whether using string=String.Empty is slower that String.Length=0. I was always of the opinon that a numeric comparison should be faster that a string comparison(So even in VB6 I prefer Len(string)=0 kind of checks) and so checking the length would be the fastest. FxCop also has a rule in the latest version 1.091 that can check comparisons and raise a exception.
Brad has talked to one to the dev guys in MS and his reply was, that the Length check has a shorter execution path. Check out Brad's post.