There are often problems with algorithms as well, usually when something expensive is done inside of a loop. Generally, the first thing you do is profile your application, which will tell you the slowest part(s) of the application. Generally, what you do to speed up your application depends upon what you find. For example, if your application mimics a file system, it may be that you're calling the database recursively to travel up the tree (for instance). You may optimise that case by changing those recursive calls into one flattened database call that returns all of the data in one call.
Again, the answer is, as always, 'it depends'. However, more examples and advice can be found in Rico Mariani's blog (browse back a few years, as his focus has shifted):
