On my machine (Quad core, 8gb ram), running Vista x64 Business, with Visual Studio 2008 SP1, I am trying to intersect two sets of numbers very quickly.
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It may also be worthwhile looking at the boost Disjoint Set container, which is specially optimized for certain kinds of large set operations.
It works by treating a group of sets as the unions of several disjoint sets, making it possible to build other sets, such as intersections or unions very cheaply, once the initial set of disjoint sets is constructed. If you expect to be doing a lot of set operations on sets that don't change much, you can probably expect this to be very fast. If, on the other hand, you will use each set once and throw it away, it's probably not going to do too much.
Anyway, you'd be doing yourself a favor to at least experiment with this to see if it gives you any bump in your specific case.