Connect using Unix sockets. It is just shared memory so you have zero connection overhead. For example, connecting through sockets to pgBouncer saves 50% CPU.

Unfortunately there are some kernel tuneables (buffer sizes) which you have to set at compile time to support massive data transfers on sockets.

Obviously this only works if you are on the same machine and if you connect directly to Postgres this way, it will happily spawn a process for every query :(.