I had the chance to attend a great talk about website performance tuning: absorbing lots of great ideas and things I hadn't heard before. The book "High Performance Web Sites" (O'Reilly) was written by the presenter a few months ago and covers all the same material. Nevertheless, I'll be buying a copy as soon as I get my manager's ear for a few minutes. To sum it up:

Load javascript in parallel instead of allowing the browser to block while loading scripts one at a time, and do the same for CSS and images as much as possible, while taking into account things like inline script tags, etc.

To analyze page loading, use a packet sniffer like IBM's Page Detailer.

For easy to understand checklists of things to try, use YSlow, a Firebug Add-on for Firefox.

Lastly, to easily see and understand the effect of load order and method, use Cuzillion as a test-bed.