So I've been following PDC this week as much as possible, and came across this gem on Vance Morrison's Blog.

Slides for our All Day PDC 2008 talks on: Performance By Design

I recommend the Parallel Talk as it is more in depth than mine (they had more than 10 minutes for their presentation ). 

Two things to take away:
  1. You can run your Garbage Collector on a separate thread:
        EXE.Config <gcServer enabled="true" />
  2. Shared state is the enemy!

The ASP.Net slides are good too, and go into great length about caching and IISconfiguration.

-- Alex Moore