If you're a subscriber to msdn magazine, take a look at the article in the March 2008, Vol 23, No 4 issue on Page 81 which describes how to use the Visual Studio 2008 profiler to improve the performance of an application. A couple of members of the profiler team examine a Mandelbrot fractal drawing program in some detail. They isolate and fix several performance problems in the code, speeding up program execution approximately tenfold.

UPDATE: You can read the article here.