Timeouts were caused by wp_dropdown_categories that was used in the theme (that's why deactivating plugins might not help in some cases).
I've checked
https://codex.wordpress.org/Function_Reference/wp_dropdown_categories
but there were no changes and $args are still used correctly.
When I change to
'hierarchical' => false
it becomes much faster again (0.8s instead of 8.5s when true).
Documentation and changes in git do not reveal any major hints about a changes in wp_dropdown_categories so I don't know what's going wrong here.
Time is burned in get_terms() when get_terms_args has set hierarchical true.
I'll investigate further - but it currently looks like a big performance bug introduced with 4.2 that might be noticed only if you have many terms defined. So I guess it's possibly a performance problem in the core and not something basically wrong with how wp_dropdown_categories() was called because everything worked fine with 4.1.2 (before the 4.2/4.2.1 upgrade).
Any ideas to point me into the right direction are welcome.
