Watch Your Cookie Sizes
If you read my last post, you may have noticed that we recently moved all SkyDrive static content to a CDN. The CDN we use is sourced at the shared.live.com subdomain, since it's maintained by part of the Windows Live organization.
I was digging in to some of our performance numbers with HttpWatch today, and noticed that our request sizes are pretty big!

As you can see, the sent column for anything under *.live.com is > 1900 bytes. In many cases, we only get back a tiny image, but the request is still huge.
Using HttpWatch, I dug in to the headers, and found that the cookies were really large. The problem is that all subdomains of live.com share a common set of cookies for login, instrumentation, etc.
As a result of this problem, we are looking in to moving our static content to a different domain where we don't set any cookies.
Here's a tip: check you request sizes and make sure you don't have the same problem!