Use a cache.

My blogroll on the right is a rather dynamic one, as it reads the RSS feeds directly. This can cause problems though, as with each link, it requires a connection to read the RSS, then parse it, etc. With six links on the blogroll, an average pageload was pushing three seconds. Yipes!
So I've finally added a cache, so the blogroll can update just once an hour. This takes pageload times from nearly 3 seconds down to a tiny 0.003 seconds. How's that for efficency?