The Sieve of Eratosthenes is one of the most efficient prime-finding algorithms out there. If you really want a program with good performance, make sure to Google the clever methods that have already been devised. "Don't reinvent the wheel" is a common programming mantra.
As far as your implementation, there are a couple of simple logical notes (which I believe are covered by the other answers): don't check even numbers at all (increment with i += 2 rather than i++), and don't print until/unless it's absolutely necessary.
To address issues in the comments below: Division into the constant value is computationally trivial compared to the process of actually finding the primes. It's the finding that we want to speed up. After all the primes have been found which are less than the desired number, we can iterate over them from highest to least and find the largest one. It's pretty straightforward.