This is the DGDK forum, in which case I should probably say 'use GDGK'!! You'll have to buy the full license if you want to make an engine though
Technology wise C++ and .NET are both fast enough for game dev and similar in speed, .NET's Rapid Application Dev but only runs on Windows. If you want multi platform then you'll have to use C++, which will take longer but give you more control as well as access to a plethora of game dev libraries already made such as GLUT.
GDGK (.NET or C++) will still only run on Windows, but it gets you past the boring parts of game dev and into the fun stuff, well worth it if you want your games made in less than a century.