Whenever I would open a new tab in IE8, whether by control-clicking a link or simply clicking the New Tab tab, everything would go dead for a good 10-20 seconds until IE8would finally show a new tab and then begin trying to open something in it. (Yeah, it always feels like longer.) It finally began bothering me enough that I started searching for a fix.
The first suggestion I came upon had to do with the restricted sites list. Checked -- didn't have one.
The second suggestion was to run regsvr32 actxprxy.dll. Tried it -- no improvement.
(That doesn't mean that either of those fixes are wrong, it just means I have some other issue.)
I finally came across the fix that I needed in the comments to a post criticizing that second fix above. Add-ons! Clicked Tools -> Manage Add-Ons and there it was: ZuneIEPlugin.ZuneBHO, with a load time of 7.62 seconds. I disabled it and voilà! My tabs work nicely again.
If you too suffer from sluggish tabs, try those three suggestions and hopefully one of them will work for you as well!