Here’s an excellent article on Yahoo on how to speed up your website.  The points covered in this are:

• Make Fewer HTTP Requests
• Use a Content Delivery Network
• Add an Expires Header
• Gzip Components
• Put Stylesheets at the Top
• Put Scripts at the Bottom
• Avoid CSS Expressions
• Make JavaScript and CSS External
• Reduce DNS Lookups
• Minify JavaScript
• Avoid Redirects
• Remove Duplicate Scripts
• Configure ETags
• Make Ajax Cacheable

Read on at: Best Practices for Speeding Up Your Web Site

Here’s a Firefox plugin from to grade your site performance according to the rules outlined in this article:

YSlow for Firefox: http://developer.yahoo.com/yslow/