Binding lacs ( large number ) of records in Gridview makes loading slow in ASP.Net

Hi ! I have a user control that is common to the application. It searchs for lakhs of Items in one go from the db and I set the selected Items in a list in a session to pass on to the pages that use it. Hence making the application a tad slower. The gridview that contains the Items should have sorting, page indexing. What according to u,I should do to enhance the application's performance ?