Attended the lunchtime presentation by Rico Mariani on writing faster managed code.
The cool thing I got out of it is that the CLR team has done most of it for you. A bunch of things including NGEN, iterating over generics and exceptions are just faster. No work needed on your part.
The gist of it is here: http://blogs.msdn.com/ricom/archive/2005/07/27/444136.aspx