If you have an Intel chipset and/or NVIDIA graphics card the game can be unplayable. There's some sticky threads about it. You can also check over in the Support forum. Be prepared to provide your system specs.
Also, I'm not sure how much of a culprit it is with BG:EE, but I know ambient sounds always were giving me grief with the original games and TuTu for some odd reason. Completely putting the slider all the way to the left removed all lag I was getting.
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How about your computer memory, video drivers...