Caveat
Premature optimization is the root of all evil in programming
E. Dijkstra... or was it C.A.R. Hoare... or was it D. Knuth?
You should always get your program correct first, and think about optimizations once it works right. That said, it is always good to keep performance in mind while programming. The most important decisions are related to the choice of suitable algorithms, of course.
Regarding networked applications in particular, here are a few performance-related things to think about:
-- SimonLeinen - 05 Jul 2005