I'll be blatant, and add my own too :D
For those of you using CMS like WP or that and using a general template, go and higher a professional website designer/coder, and get them to tweak it so you only call 1 or 2 CSS and 1 or 2 JS files, instead of the masses of redundant calls that messy templates produce.
If people bother to hunt around, they will find various scripts to handle Compression and Combining files.
One of my first efforts in php generated a script that will combine, compact, compress and cache your CSS/JS files.
A later revision borrowed a bit from Minify (overly complicated and bloated for most people) to do the compacting (removal of unnecessary spaces etc.).
If you have server access, or are on good terms with your host, I belive there is a mod for improving overal performance (from G?) so that it will handle things like combining/compressing for you.
Using tools like Xat Image Optimiser, PNG Gauntlet, and online services like Smush.it can go a long way to help, as well as ensuring that you have correctly sized your images (do Not shove a large image in ap age and use teh Height/Width properties on it without special intentions!). It shocks me that peopel are still shoving in 700+Kb images, when they could easily reduce them to 120Kb.
Only play with CSS Sprites if you really know what you are doing (it's tedious, annoying, and may often require redoing your CSS and possibly the markup as well).