Improving the performance of R
R has a reputation for being slow and memory-inefficient, a reputation that is at least somewhat earned. These faults are largely unnoticed on a modern PC for datasets of many thousands of records, but datasets with a million records or more can exceed the limits of what is currently possible with consumer-grade hardware. The problem worsens if the dataset contains many features or if complex learning algorithms are being used.
CRAN has a high-performance computing task view that lists packages pushing the boundaries of what is possible in R. It can be viewed at http://cran.r-project.org/web/views/HighPerformanceComputing.html.
Packages that extend R past the capabilities of the base software are being developed ...