I have a very large program which I have been compiling under visual studio (v6 then migrated to 2008). I need the executable to run as fast as possible. The program spends most
1) Reduce aliasing by using __restrict.
2) Help the compiler in common subexpression elimination / dead code elimination by using __pure.
3) An introduction to SSE/SIMD can be found here and here. The internet isn't exactly overflowing with articles about the topic, but there's enough. For a reference list of intrinsics, you can search MSDN for 'compiler intrinsics'.
4) For 'macro parallelization', you can try OpenMP. It's a compiler standard for easy task parallelization -- essentially, you tell the compiler using a handful of #pragmas that certain sections of the code are reentrant, and the compiler creates the threads for you automagically.
5) I second interjay's point that PGO can be pretty helpful. And unlike #3 and #4, it's almost effortless to add in.