Quoting from MCTS Training Kit for Exam 70-536, .NET Framework 2.0 - Application Development foundation:
"The runtime optimizes the performance of 32-bit integer types (Int32 and UInt32), so use those types for counters and other frequently accessed integral variables. For floating-point operations, Double is the most efficient type because those operations are optimized by hardware."
Let's be honest: in average development conditions this won't make much of a difference. Depending on what kind of app your working on, tough, it means that -if you're not working on very constrictive memory conditions- even if you need just a float (4 bytes) to represent numeric values, you should go for a double in order to optimize your floating point operations, and so on.
It's just kind of nice to know this, so next time you'll meet a memory maniac -who's using short variables as counters- you'll have a concrete reason to laugh at him.