In general, make sure you understand the time complexity of different algorithms, and use that knowledge to choose your implementations wisely.
For .NET in particular, this article goes into great detail about optimizing code deployed to the CLR (though it's also relevant for Java, or any other modern platform), and is one of the best guides I've ever read:
http://msdn.microsoft.com/en-us/library/ms973852.aspx
To distill the article into one sentence: Nothing affects the speed of a .NET application (with sensible algorithms) more than the memory-footprint of its objects. Be very careful to minimize your memory consumption.
