What are the best candidates for a precompiled header file? Can I put STL and Boost headers there, even though they have templates? And will that reduce compile times? Also, what are the best IDE settings to reduce compile times?
The quick answer: the STL and Boost headers do indeed belong in the precompiled header file, even though these header files define template classes.
When generating a precompiled header file, a compiler parses the header text (a significant task!), and converts it into a binary format that is optimised for the compiler's benefit.
Even though the template classes will be instantiated when other .cpp files are compiled, they will be instantiated from information in the precompiled header, which is significantly faster for the compiler to read.
(later addition)
One thing that you should not include in a precompiled header are files that are part of your project and are changed frequently, even if every single .CPP file includes these files.
The reason is this - the generation of the precompiled header can take a long time, because the boost, stl and windows libraries are very large.
You might have a simple file (eg "StringDefs.h") that everything uses. If StringDefs.h is included in stdafx.h, and one developer touches StringDefs.h, then every developer has to wait until the entire precompiled header recompiles. It would be much faster if StringDefs.h was left out of the precompiled header, and parsed along with each .CPP file.
Put anything in the precompiled header that most of the .cpp files in that project would include anyway. This goes for any header file, really. This allows the compiler to parse these files once, and then reuse that information in all .cpp files in the same project.
One addition to Andrew Shepherd's answer. Use the precompiled header for header files that are external to your project, for files that change infrequently. If you're changing the header files in the current project all the time, it's probably not worth precompiling them.
I've written an article on techniques that reduce the compilation time. Among these techniques a post on precompiled header and its application can be found here. It also has a section on best practices that you may find interesting. CMake scripts that handle it transparently are included.