Any ideas what would make ChoosePixelFormat to take almost 2 seconds to call the first time? The only thing I can think of is that it has to change the desired pixel format pass-in. I say that because running it a second time (right after calling the first one and 5 seconds after calling the first one) results in about 0.8 milliseconds.
My guess would be on poorly written GPU drivers. And there's not much you can do about it. Once OS needs to initialize GPU related things, it starts communicating with driver, loading 20 dll files, enumerating 100 registry keys, etc... It takes time. Of course once it is done at least one time, next time will be much faster because all the information needed is already retrieved and cached.