Products like NCache and AppFabric also perform serialization before storing the object in an out-of-process caching service. So you'd still take that serialization hit, plus you'd get slowed down even further by going out-of-process (or maybe even over the network) to access the serialized object in the caching service.
Implementing ICloneable on your classes to perform hand-tuned deep copies will avoid reflection and will outperform binary serialization, but this may not be practical if your DTOs are very complex.
Updated to provide specifics:
AppFabric usese the NetDataContractSerializer for serialization (as described here). The NetDataContractSerializer can be a little faster than the BinaryFormatter, but its performance is usually in the same ballpark: http://blogs.msdn.com/b/youssefm/archive/2009/07/10/comparing-the-performance-of-net-serializers.aspx
NCache rolled their own serializer, called "Compact Serialization". You need to either implement their ICompactSerializable interface on your DTO classes and read/write all members by hand, or else let their client libraries examine your class and then emit its own serialization code at runtime to do that work for you (it's a one-time hit when your app starts up, where they have to reflect over your class and emit their own MSIL). I don't have data on their performance, but it's safe to assume that it's faster than serializers that perform reflection (BinaryFormatter/DataContractSerializer) and probably somewhere in the same performance realm as protobuf, MessagePack, and other serializers that avoid excessive reflection. More detail is here.
(I work for a company (ScaleOut Software) that's in the same space as NCache, so I should probably know more about how they do things. ScaleOut lets you plug in whatever serializer you want--we usually recommend Protobuf-net or MessagePack, since they're generally considered to be the reigning champions for .NET serialization performance--definitely take a close look at those two if you decide to use a serializer to make your deep copies.)