The default TCP/IP settings in Windows are not very good for gigabit networking, and seem to limit you to around 20MB/sec when transferring files. Even with pure TCP tests I couldn’t get over about 30MB/sec with the default.
The solution is to increase the TCP Receive Window and enable Window Scaling. You can edit the registry or just use the hand DrTCP tool:
With those settings I can saturate my gigabit link with jumbo frames enabled, and file transfer via Windows File Sharing (SMB) now seems to be limited by HDD speed rather than the network.