One of biggest optimizations I've used is regard to this question:
with the initialized version, insert each row per query use ADO.NET, I was able to insert about 100 rows/second. When I switched to batch insert, it rose to 1000 rows/second, and then, BulkCopy, I can get, about 7000 rows/second. All in same machine. 70 times better and even smaller, more-readable code.
So, what's the best optimization you've ever used to improve your code? Optimization means better tactic/strategy, not premature optimization :)