Wordpress optimisation


I'm wondering if anyone has had direct experience in optimising their Wordpress installations? I've set up a stock-standard WP site for a client, latest WP version 2.8.5. It's running on a Windows server if that makes a difference?

Even on my local dev machine, WP runs soooo slow! Takes ages for each page to come up, that is relative to, say, complex ASP apps or other CMS sites which do much more and run faster. Why would WP run so slow out of the box? 3-5 seconds to finish delivering a page - I'm sure I've seen faster WP sites out there.

I've read a bit about optimising, made a few recommended tweaks, but to no real effect. Disabled all plugins, it's still slow. I've seen lots of WP sites out there which feel snappy. How do I find out where mine is bottlenecking? Is there some kind of process logging built into WP which I can use to track where it's slowing down?

Any pointers much appreciated!