Darren over at Problogger has a guest post by technosailor on optimising web pages for faster load time post on some of the points to take care of when optimising your blog.
Most bloggers start with a small site hosted on a shared server and as most shared servers can’t handle the kind of traffic a good blogger is likely to see, it is generally a good idea to optimise your blog and carefully monitor the response times.
The post covers the use (or minimal use of) images, avoiding third party scripts, caching and (surprise, surprise !!) avoiding flash.
A must read.