gr.Clear(Color.Transparent);

        protected override void OnMouseMove(MouseEventArgs e)
        {
            m_LastMouseLocation = e.Location;

            if (m_InChoosing)
            {
                Graphics gr = this.CreateGraphics();
                Pen p = new Pen(new SolidBrush(Color.Black), 0.1f);

                gr.DrawLine(p, m_ChooseBegPos, new Point(m_ChooseBegPos.X, m_LastMouseLocation.Y));
                gr.DrawLine(p, m_ChooseBegPos, new Point(m_LastMouseLocation.X, m_ChooseBegPos.Y));

                gr.DrawLine(p, new Point(m_ChooseBegPos.X, m_LastMouseLocation.Y), m_LastMouseLocation);
                gr.DrawLine(p, new Point(m_LastMouseLocation.X, m_ChooseBegPos.Y), m_LastMouseLocation);

                //base.Invalidate(new Rectangle(m_LastMouseLocation, new Size(1, 1)), false);
            }

            base.OnMouseMove(e);
        }

SetStyle(ControlStyles.ResizeRedraw | ControlStyles.OptimizedDoubleBuffer, true);

gr.Clear(Color.Transparent);

А>        protected override void OnMouseMove(MouseEventArgs e)
А>        {
А>            m_LastMouseLocation = e.Location;

А>            if (m_InChoosing)
А>            {
А>                Graphics gr = this.CreateGraphics();
А>                Pen p = new Pen(new SolidBrush(Color.Black), 0.1f);

А>                gr.DrawLine(p, m_ChooseBegPos, new Point(m_ChooseBegPos.X, m_LastMouseLocation.Y));
А>                gr.DrawLine(p, m_ChooseBegPos, new Point(m_LastMouseLocation.X, m_ChooseBegPos.Y));

А>                gr.DrawLine(p, new Point(m_ChooseBegPos.X, m_LastMouseLocation.Y), m_LastMouseLocation);
А>                gr.DrawLine(p, new Point(m_LastMouseLocation.X, m_ChooseBegPos.Y), m_LastMouseLocation);

А>                //base.Invalidate(new Rectangle(m_LastMouseLocation, new Size(1, 1)), false);
А>            }

А>            base.OnMouseMove(e);
А>        }
А>

        protected override void OnPaintBackground(PaintEventArgs e)
        {
            //base.OnPaintBackground(e);
        }

А>        protected override void OnPaintBackground(PaintEventArgs e)
А>        {
А>            //base.OnPaintBackground(e);
А>        }
А>

А>base.OnPaintBackground слишком медленно работает

public partial class Form1 : Form
{
    public Form1()
    {
        InitializeComponent();
        Paint += Form1_Paint;

        SetStyle(ControlStyles.ResizeRedraw, true);
        //SetStyle(ControlStyles.OptimizedDoubleBuffer, true);
    }

    void Form1_Paint(object sender, PaintEventArgs e)
    {
        var rect = ClientRectangle;
        using (var pen = new Pen(Color.Red, 50))
            e.Graphics.DrawLine(pen, rect.Left, rect.Top, rect.Right, rect.Bottom);
    }
}

А>        protected override void OnMouseMove(MouseEventArgs e)
А>        {
А>            m_LastMouseLocation = e.Location;

А>            if (m_InChoosing)
А>            {
А>                Graphics gr = this.CreateGraphics();
А>            }

А>            base.OnMouseMove(e);
А>        }
А>

            SetStyle(
                ControlStyles.AllPaintingInWmPaint /* | ControlStyles.DoubleBuffer*/| ControlStyles.UserPaint |
                ControlStyles.Opaque |
                ControlStyles.ResizeRedraw | ControlStyles.Selectable | ControlStyles.StandardClick, true);

        private void ReCreateMainDrawing()
        {
            if (_mainDrawing == null || _mainDrawing.Width != _drawingSize.Width ||
                _mainDrawing.Height != _drawingSize.Height)
            {
                if (_mainDrawing != null)
                    _mainDrawing.Dispose();
                _mainDrawing = new Bitmap(_drawingSize.Width, _drawingSize.Height, PixelFormat.Format32bppPArgb);
                _bRedraw = true;
            }
        }

        protected void ApplyDrawing(Bitmap drawing, PaintEventArgs e, bool bFull)
        {
            if (bFull)
                e.Graphics.DrawImageUnscaled(drawing, 0, 0);
            else
                e.Graphics.DrawImage(drawing,
                                     e.ClipRectangle,
                                     e.ClipRectangle.Left,
                                     e.ClipRectangle.Top,
                                     e.ClipRectangle.Width,
                                     e.ClipRectangle.Height,
                                     GraphicsUnit.Pixel);
        }

case WM_MOUSEMOVE:
{
SetROP2
Select NULL_BRUSH в hdc
Select нужное перо в hdc
Rectangle по старому прямоугольнику (запомненному в первый раз по WM_LBUTTONDOWN, а потом измененному на mousemove, см. ниже
старый прямоугольник = новый прямоугольник (левый-верхний без изменения, правый-нижний из mousemove lParam)
Rectangle по новому прямоугольнику

I>Слушай, не смешно. Дохлый комп может швырять битмапы на экран с такой скоростью, что загрузка процессора в этом случае нисколько не растет

Это значит, что у тебя был не GDI. Direct3D по крайней мере тогда работал через DirectDraw.

LPDIRECTDRAWSURFACE4        g_pDDSBack = NULL;   // DirectDraw back surface
...

    // Get a pointer to the back buffer
    ddscaps.dwCaps = DDSCAPS_BACKBUFFER;
    hRet = g_pDDSPrimary->GetAttachedSurface(&ddscaps, &g_pDDSBack);
...
    g_pDDSBack->Blt(NULL, NULL, NULL, DDBLT_COLORFILL | DDBLT_WAIT, &ddbltfx);

...

    if (g_pDDSBack->GetDC(&hdc) == DD_OK)
    {
        SetBkMode(hdc, TRANSPARENT);
            HPEN hP = CreatePen(PS_SOLID, 1, RGB(255, 0, 0));
            HPEN hPOld = (HPEN) SelectObject(hdc, hP);

            // Small window
            for(int i = - 3; i < 4; i++)
                for(int j = - 3; j < 4; j++)
                {
                    if(i + DebLineY < 0 || j + DebLineX < 0)
                        continue;
                    COLORREF cr = GetPixel(hdc, j + DebLineX, i + DebLineY);
                    for(int a = 0; a < 8; a++)
                        for(int b = 0; b < 8; b++)
                            SetPixel(hdc, 400 + j*9+b, 200 + i*9+a, cr);

            hRes = g_pDDSCopy->Blt(&r, g_pDDSBack, &r, DDBLT_WAIT, NULL);

S>public partial class Form1 : Form
S>{
S>    public Form1()
S>    {
S>        InitializeComponent();
S>        Paint += Form1_Paint;

S>        SetStyle(ControlStyles.ResizeRedraw, true);
S>        //SetStyle(ControlStyles.OptimizedDoubleBuffer, true);
S>    }

S>    void Form1_Paint(object sender, PaintEventArgs e)
S>    {
S>        var rect = ClientRectangle;
S>        using (var pen = new Pen(Color.Red, 50))
S>            e.Graphics.DrawLine(pen, rect.Left, rect.Top, rect.Right, rect.Bottom);
S>    }
S>}
S>

public partial class TestForm : System.Windows.Forms.Form
    {
        Point m_ChooseBegPos;
        Point m_LastMouseLocation;
        bool m_InChoosing;

        public TestForm()
        {
            InitializeComponent();
            Paint += Form1_Paint;

            SetStyle(ControlStyles.ResizeRedraw, true);
            SetStyle(ControlStyles.OptimizedDoubleBuffer, true);
        }

        void Form1_Paint(object sender, PaintEventArgs e) //или OnPaint(PaintEventArgs e) с вызовом base.OnPaint в конце
        {
            if(m_InChoosing)
            using (var p = new Pen(Color.Red, 5))
            {
                Graphics gr = e.Graphics;
                gr.DrawLine(p, m_ChooseBegPos, new Point(m_ChooseBegPos.X, m_LastMouseLocation.Y));
                gr.DrawLine(p, m_ChooseBegPos, new Point(m_LastMouseLocation.X, m_ChooseBegPos.Y));

                gr.DrawLine(p, new Point(m_ChooseBegPos.X, m_LastMouseLocation.Y), m_LastMouseLocation);
                gr.DrawLine(p, new Point(m_LastMouseLocation.X, m_ChooseBegPos.Y), m_LastMouseLocation);
            }

        }

        protected override void OnMouseDown(MouseEventArgs e)
        {
            m_ChooseBegPos = e.Location;
            m_InChoosing = true;

            base.OnMouseDown(e);
        }

        protected override void OnMouseUp(MouseEventArgs e)
        {
            m_InChoosing = false;

            Invalidate();
            base.OnMouseUp(e);
        }

        protected override void OnMouseMove(MouseEventArgs e)
        {
            m_LastMouseLocation = e.Location;

            if (m_InChoosing)
            {
                Invalidate();
            }

            base.OnMouseMove(e);
        }
    }

    if (g_pDDSBack->GetDC(&hdc) == DD_OK)
    {
..
            // Small window
            for(int i = - 3; i < 4; i++)
                for(int j = - 3; j < 4; j++)
                {
                    if(i + DebLineY < 0 || j + DebLineX < 0)
                        continue;
                    COLORREF cr = GetPixel(hdc, j + DebLineX, i + DebLineY);
                    for(int a = 0; a < 8; a++)
                        for(int b = 0; b < 8; b++)
                            SetPixel(hdc, 400 + j*9+b, 200 + i*9+a, cr);

            _Texture.CopySubresourceRegionFrom(0, 0, 0, 0, backBuffer, 0, BoxMake.From2D(rect));
            IntPtr hdc = GDIInterop.GetDC(_WindowHandle);
            var mapped = _Texture.Map(0, Staging_MapMode.Read, false);

            var rs = new SizeU(mapped.SystemMemoryPitch / 4, _CurSize.Height);
            GDIInterop.SetDIBitsToDevice_BGRX(hdc, mapped.SystemMemory ,rs, true,
                new Point2U(rect.Left, rect.Top), new RectU(0,0,rect.Width,rect.Height)
                );

            _Texture.Unmap(0);
            GDIInterop.ReleaseDC(_WindowHandle, hdc);

 public partial class Form1 : Form
    {
        public Form1()
        {
            InitializeComponent();            
            SetStyle(ControlStyles.AllPaintingInWmPaint, true);
            SetStyle(ControlStyles.Opaque, true);
            SetStyle(ControlStyles.ResizeRedraw, true);
            SetStyle(ControlStyles.OptimizedDoubleBuffer,true);

        }       
        public Point p;
        private void Form1_MouseMove(object sender, MouseEventArgs e)
        {
            p = e.Location;
            System.Threading.Thread.Sleep(10);
            Invalidate();
            //Update();            
        }
        protected override void OnPaint(PaintEventArgs e)
        {
            base.OnPaint(e);
            e.Graphics.Clear(Color.White);
            e.Graphics.DrawLine(Pens.Black, new Point(p.X, p.Y), new Point(p.X, p.Y + 100));
        }       
    }

  public class VirtualPanel : Panel
  {
    public VirtualPanel() :
      base()
    {
      base.SetStyle(ControlStyles.OptimizedDoubleBuffer | ControlStyles.AllPaintingInWmPaint |
        ControlStyles.UserPaint, true);
    }
  }