I am running WP-Cache plugin on this website. Since I use it on my website, I can feel the difference. The time taken for my website to load up is much faster when I using it.
WP-Cache is a plugin that will cache your WordPress and stores them to static files. When a page is requested, WordPress will load the static file instead of compiling the PHP code and building the page from the database. This will really reduce the time from several tenths of seconds to less than a milisecond as said by the plugin author, Ricardo Galli Granada.
The installation is not really difficult but you might having a problem to create the symbolic link because you need to have a shell access to do it. But thanks to Torkil Johnsen for sharing this method to us.