Michel,
Assuming you are using VS2005, you may want to check out provider factories.
Instead of deciding between the SQL provider or the OLE Provider, you can code against the new DbProviderFactory and DbProviderFactories. You'll need to indicate the name of each provider in the machine configuration file. I have an article in the newest issue of CoDe magazine on ADO.NET that devotes a few paragraphs and a code sample to provider factories. (You can also go up to MSDN and search on VS2005 Provider factories).
I have not run any tests myself - but I've talked to a few people who have said the performance should be about the same as if you were using the provider for the desired database. Only thing I'm not sure about is how provider factories handle some of the newest data types across Oracle, SQL, etc. But depending on what you're doing, that may or may not be a factor.
I can't say it will necessarily help, but you could try a test that covers your standard data access stuff and see how it works.
Kevin