I had my MBP pro connected to my external monitor using dual screen mode. I tried it using clamshell mode with the lid closed and basically everything is now very smooth, no lag at all! I think the problem was that the GPU power was not enough to power both displays.
That GPU has more then enough power to run the two displays and then some more. It most likely a bug somewhere in OS X with multi-monitor support. Probably an expensive state switch in the window manager or something like that.