This is an internal email from a CLR Developer. I recorded it here just to share the information. I do not work in that area and I can't answer any question.
RTM implementation of Thread.GetData/Thread.SetData has several scalability issues
caused by global locks being taken. The appdomain-global lock
taken in LocalDataStore.SetData is one of them. There is another global lock taken in ThreadNative::GetDomainLocalStore that is even worse since it is
workaround is to use [ThreadStatic] variables instead of Thread.GetData/Thread.SetData:
static Object foo;
[ThreadStatic] variables do not suffer from the contention
issues. Moreover [ThreadStatic] variables are several times faster compared to Thread.GetData/Thread.SetData.