Andrew K over at Optimize Guides has a very good article on some very common Windows XP myths. It is a suggested read for any Microsoft administrator. I have read many of the myths in the past and tried them out on my computers, or my users computers and for many of the "improve performance" settings have never seen any difference.
I learned a bit today after reading all of the myths, and as stated previously don't use anything the myths try to sell you. Most of the time the settings they are telling you to change simply do not get read by Windows XP, and if they do, hopefully they won't harm you system in any way.