Just to add a little to the consensus that is EBS faster...
An important point to understand here is that instance storage speed is unpredictable - Amazon makes no guarantees about it.
This information comes from the book Cloud Application Architectures by George Reese (which seems pretty good from what I've skimmed it so far.) It includes a table titled Comparison of EC2 data storage options (p. 41); here's a snippet of that table (in the book there are several other characteristics compared):
S3 Instance EBS
Speed Low Unpredictable High
Reliability Medium High High
Durability Super high Super low High
So, instance storage might outperform EBS in read access sometimes, but if you want constant high speed, you indeed need to go with EBS. As Reese puts it in his book:
Another issue is the unpredictability of performance in the instance storage. You might actually think that it should be faster than the other options, and sometimes it is. Sometimes, however, it is unbelievably slow - slower than an NFS mount over a 10bT Ethernet connection. EBS, on the other hand, consistently gives you the performance of a SAN over a GB Ethernet connection.