xdebug

two bookmarklets you can use to start and stop a Xdebug session

The next thing to do is to identify the actual bottlenecks. yslow and firebug can help you for front end performance - which are often a bigger issue in the wild, but while Drupal core can make those problems easier to solve (reverse cache support, CDN support etc.), they need real world situations to be measured in, and the actual solutions are often site specific. So here I'm going to focus on what you can find on your local development environment - and three tools, devel module, ab, and xdebug/cachegrind.