Here's another tip.
Many web sites will redirect you to advertisers web sites to give you big banner ads and flash ads. Sometimes they waste a lot of your bandwith with crap that you do not want to see. On some sites, it get's really bad up to 4 redirects to other sites to get the adds places on your screen. So I stop my computer from ever going there. How? It's a little tweak to your system.
This is for Windows XP users, the instruction will work for all versions of Windows and also works on other operating systems:
In Notepad (or other text editor) open the file, C:\windows\system32\drivers\etc\hosts - the file does not have an extension. It is in a different location on Windows 95 but the path is similar. Copy the following:
127.0.0.1 localhost
127.0.0.1 *.doubleclick.net
127.0.0.1 *.atdmt.com
127.0.0.1 *.atdmt.net
127.0.0.1 *.advertising.com
127.0.0.1 ad.doubleclick.net
127.0.0.1 view.atdmt.com
127.0.0.1 spe.atdmt.com
127.0.0.1 *.fastclick.net
127.0.0.1 media.fastclick.net
127.0.0.1 *.adserver.com
127.0.0.1 z1.adserver.com
127.0.0.1 *.tribalfusion.com
127.0.0.1 *.primaryads.com
127.0.0.1 *.websponsors.com
127.0.0.1 *.burstnet.com
127.0.0.1 *.valueclick.com
Save your file and exit
Restart your computer
When you go back to some of these websites, you will see that you have a bunch of broken images etc. These are all the banners and plugins that you were supposed to download.
All this does is read the hosts file for the ip address of the web site you want to go to. If it cannot find the site there, it goes to your ISP to get the web address. It then uses the address 127.0.0.1 to get to the web server, but 127.0.0.1 is
your computer so it will never find the site. If you are running a web server on your computer it may cause problems but you would be familiar with the error message that your web server would give.
It's probably saved me about 5% of my download time in general but on some sites I go to it's up to 40%.

For fair disclosure, this has given me problems on the Boston Globe web site, I get a lot of 404 - page cannot be found errors but I don't get this elsewhere.