An oft-overlooked element in the web.config or app.config files of your application is the connectionManagement tag. In particular, .NET will limit the simultaneous number of connections to a domain to 2 by default. You can see the documentation for the tag here.
If I understood your question correctly, it stands to reason that parallel-creating web clients to 2 domains will be limited to 4 threads by default (2 threads per domain), causing less speedup than you would otherwise expect.
If you are connecting to multiple domains, however, then the other answers are likely to yield more speedup since waiting on the response is probably a large part of the cost of each loop iteration. If you are on .NET 4.5, GetStringAsync method is probably your friend.