Keith has put SharePoint list to a test performance by creating a script that add items and time the performance of the list. You could use his examples to push the limits of SharePoint list by the millions according to your needs.

In an excerpt of the post:

Anyone who has dealt with development in SharePoint has likely had to deal with SPList, SPListItem and SPListItemCollection. Recently I have been working on some projects that were experiencing some performance issues. Looking at the code, I started to realize that while I had heard a lot of things from Microsoft (specifically the SharePoint product team) about how much the SharePoint list performance had been increased, I had not actually seen a lot of publications around where, how and some good ways to take advantage of them. Certainly there are articles about Indexed columns, and many about views only up to 1000-2000 items. I decided to dig a little deeper, and I think you might be as surprised as I was about what I found.

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