This is actually quite a complex question. Linq makes certain things very easy to do, that if you implement them yourself, you might stumble over (e.g. linq .Except()). This particularly applies to PLinq, and especially to parallel aggregation as implemented by PLinq.
In general, for identical code, linq will be slower, because of the overhead of delegate invocation.
If, however, you are processing a large array of data, and applying relatively simple calculations to the elements, you will get a huge performance increase if:
You use a for loop to access each element (as opposed to foreach or linq).