As everybody else has said: profile, profile profile.
As for actual techniques, one that I don't think has been mentioned yet:
Hot & Cold Data Separation: Staying within the CPU's cache is incredibly important. One way of helping to do this is by splitting your data structures into frequently accessed ("hot") and rarely accessed ("cold") sections.
An example: Suppose you have a structure for a customer that looks something like this:
struct Customer
{
int ID;
int AccountNumber;
char Name[128];
char Address[256];
};
Customer customers[1000];
Now, lets assume that you want to access the ID and AccountNumber a lot, but not so much the name and address. What you'd do is to split it into two:
struct CustomerAccount
{
int ID;
int AccountNumber;
CustomerData *pData;
};
struct CustomerData
{
char Name[128];
char Address[256];
};
CustomerAccount customers[1000];
In this way, when you're looping through your "customers" array, each entry is only 12 bytes and so you can fit many more entries in the cache. This can be a huge win if you can apply it to situations like the inner loop of a rendering engine.