Black Viper
He has an excellent Services guide. It's the best of the best. Services are programs which run in the background, slowing the pc down. Most of these are not needed.
The Supertweaks for WinXP from him are the easiest to apply but very good tweaks for WinXP. These are actually the "basic" tweaks every enthousiast should consider.
Tweakhound
This site contains the best guide to tweak XP, the tweaks go further then Black Viper's Supertweaks. It's all very well explained. A must read!
Check out his tweakpack for XP as well. It contains some registry files to optimize your pc automaticly.
Axcel216
It's a very good site to find information on tweaking windows.
There is also a zip file available for download which contains all the text from the site in textfiles,
regfiles,... very handy to find a tweak without need of internet.
Stop MS spying
XP-Antispy stops all sorts of information from you being sent to Microsoft.
Note: xpy has same features as XP-antispy and closes some XP security holes. I haven't tested it.
XPlite
XPlite gives you the power to set up your windows machine the way you want. The power to remove unwanted features, the power to remove upgrades that go bad, the power to strip potential security and privacy threats out by the roots.
Nlite
Gives you the option to build a windows xp image with the features and programs you want to be included on the windows xp cd. Just like XP Lite but then free and before installation.