Tools

Minify - CSS/JS PHP minifier
- Very configurable
- Can restrict to specific files to concat in config
- Supports memcache, gzip and far-future expires headers
Far-future expires headers for Apache
- Put in .htaccess file or http.conf

 <FilesMatch "\.(ico|pdf|flv|jpg|jpeg|png|gif|js|css|swf|ttf)$">
 Header set Expires "Thu, 15 Apr 2020 20:00:00 GMT" 
 </FilesMatch>

Note: you will have to change the url to update any static content.
Gzip
- On by default for all Mozilla sites
Spriteme.org - Awesome bookmarklet that sprites similar sized and positioned background images. Works pretty well. You have to manually download the sprited image and copy/paste the new CSS, but you can preview the changes live.

YSlow - #1 perf. tool for frontend. Graded score for page and each rule. Use this and try to hit the first 5 rules as much as possible. (Except CDN req.)
PageSpeed - Performance rules, some overlap with YSlow. Harder to figure out what is a priority. Recommend to use after getting an 'A' in YSlow.
WebpageTest - Use defaults to get a 'normal' test. Good for seeing how long a page takes to load for a normal user and around the world.
Firebug JS Profiler - use this if your JS is locking up browsers. Has ok profiling for JS functions.

Optimizing Your Site

Sprite icons and bg images before building site
Use a build script to merge and minify CSS & JS files for production
Put JS at bottom
Put CSS at top
Add expires headers for static content and add version # in URLs
Don't use inline JS except for bottom of page (blocks rendering and downloading of other assets)
Put stats tracking code in footer, not head
Use -moz-box-shadow, -moz-border-radius and -moz-linear-gradient for drop shadows, rounded corners and gradients (reduces # of images significantly)
Smush images - best done via YSlow