You should check and double check your connectors as well as settings in your OSes. I have the same set up as you but with CAT-5e cable (CAT-5 should work, too) and it runs at Gigabit speed with Jumbo frame fine. Speed with Samba from my custom built NAS is around 60-100MB/s read and 40-70MB/s write.
Please give us more infos regarding your set up like what are your OSes, and how you set them up in Windows device manager and check ifconfig for link speed in *nix box.