Developing efficient websites is a whole study area in it’s own right.

Google make available a Pagespeed addon to Firefox, that can help you quickly focus on a handful of areas and get results.

pagespeed addon / extension for Firefox

pagespeed

…which gives you an immediate idea of current state of thing (score out of 100) and a list of areas to look at:

pagespeed score of 82 out of 100 is pretty good

pagespeed score

One of the things that regularly comes up in the hints on client sites is KeepAlive, and helpful header information can be obtained from Firebug like so…

server headers for fetched resource

server headers - firebug

 

Personal Reminder: Installing pagespeed without having Firebug installed will achieve nothing – pagespeed is not accessed via context menu.