Hi Andrew,
Following your question, we have gone into some tests with a list containing 25000 items.
We are obtaining a 575 pages report.

We did not have to change any timeout configuration settings to get the report running.
We have monitored report execution times and obtained the following results :
It would have been possible to further optimize the Data Retrieval time by only retrieving the necessary fields instead of all the list's fields as we did in our tests :
The tests have been run on 2 virtual machines hosting respectively SPS 2003 and SQL Reporting Services 2005. The 2 virtual machines were hosted on a PIV 3ghz desktop PC.
We were rather pleased with the results though it should also be tested in real world situations were other transactions are taking place.
We would like to know what you are thinking of the results? Do you have lists with more than 25000 items? Would you like us to make some other tests?
Regards,