I'm sorry, but that is not a simple question. It would depend a lot on what exactly was going on. C# is certainly no slouch, and you'd be hard-pressed to say "java is faster" or "C# is faster". C is a very different beast... it maybe has the potential to be faster - if you get it right; but in most cases it'll be about the same, but much harder to write.
It also depends how you do it - locking strategies, how you do the parallelization, the main code body, etc.
Re JIT - you could use NGEN to flatten this, but yes; if you are hitting the same code it should be JITted very early on.
One very useful feature of C#/Java (over C) is that they have the potential to make better use of the local CPU (optimizations etc), without you having to worry about it.
Also - with .NET, consider things like "Parallel Extensions" (to be bundled in 4.0), which gives you a much stronger threading story (compared to .NET without PFX).
