This book can be a good start:
Anyway, if you have specific needs, the knowledge needed may vary.
For LOB applications (IMHO) very often performance issue have to be searched in I/O (RDMS / WebServices / RPC), these times in all depends a lot on query tuning, optimization of data transfer via specific binary protocols etc... so C# internals not come to an help (even if i think that knowing it may be really precious).
If you are facing applications with numerical analysis and/or greedy algorithm you could give a look at stackalloc/unsafe programming.
This links is a good start:
Hope this helps :)
Azure tuning is now in 2nd place for performance optimization.
I've personally never had to look very deep into the CLR, and I've worked for some large scale apps.