Using MySQL? Check out mysql_unbuffered_query()
Use it exactly like you would mysql_query(). The difference is that instead of waiting for the entire
query to finish and storing the result in the client API, an unbuffered query makes results available to
you as soon as possible and they are not allocated in the client API. You potentially get access to
your data quicker, use a lot less memory, but you can't use mysql_num_rows() on the result resource
and it is likely to be slightly slower for small selects.

Use Persistent Database connections
Some database are slower than others at establising new connections. The slower it is, the more of an
impact using persistent connections will have. But, keep in mind that persistent connections will sit
and tie up resources even when not in use. Watch your resource limits as well. For example, by
default Apache's

Use References if you are passing large data structs around to save memory
There is a tradeoff here. Manipulating references is actually a bit slower than making copies of your
data, but with references you will be using less memory. So you need to determine if you are cpu or
memory bound to decide whether to go through and look for places to pass references to data instead
of copies.