Assuming that there are multiple threads in a single process wanting to
access the database:

Keep the connection in one thread. All other threads call that single
thread. Use an async. systeem (with callbacks) and queueing to keep track of
requests from threads and allow them to take it's turn using the connection.

Just be sure to keep optimize the database connection (indexes etc) in the
threads to keep the request to a minimum and a dataset in stead of a
datareader to process the data otherwise the connection will be kept busy by
one thread. Retrieve the required data in the callback and allow the
connectionthread to continue with the queue. Optionally you could allow the
connectionthread to open two connections for more connections shares among
the threads.

Prevent throwing exceptions, as they are expensive in resources.

Other (more expensive) option is to create a three-tier environment using
the same system as described above, if multiple connection to a database is
a problem. That way you could cache results for multiple clients wich
increases the chances of a cachehit. (webservice uses cache by design, a
good middletier component)

Hope it helps...

Gerrit