jQuery 1.3 made a huge step especially towards better performance. But it’s not only the framework, from time to time it’s the developer who should care about performance too. Artzstudio.com made up a really good summary of how you should change your coding-style to achieve a higher performance with jQuery.
In my opinion the most important things are:
Use ID selectors whenever possible since this can be directly mapped to getElementById() it much faster then all the other selectors
Use chaining whenever possible since it will reuse the already selected element whichout additional selectors
Limit direct DOM manipulation obviously browsers don’t like it therefor you should avoid it ;)
Distinguish between $(window).load() and $(documen).ready()
Besides this single resource there’s also the list with 25 jQuery tips from tvidesign.co.uk which contains lot’s of useful stuff. And of course there are ton’s of cheat sheets lying around in the web - you should at least use one ;) .