From my personal experience I've noticed that disabling the page file in Windows XP has given me, in general, the most speed gain out of any other software change I can make. Obviously this has to be done when a significant amount of RAM is available. Typically I find that it works nicely with +2GB of RAM. The only issues I've ever really had were loading up Adobe Photoshop.
Is this really a speed improvement or am I imagining it?
Note: In order to actually turn it off, you must not just set it to 0MB, but disable it. Otherwise Windows will just expand it when it needs to in order to meet its needs.