See this article for tips on how to help performance issues. This includes both performance issues related to starting up, under the "cold start" section. Most of this will matter no matter what type of server you are using, locally or in production.
If the application deserializes anything from XML (and that includes web services…) make sure SGEN is run against all binaries involved in deseriaization and place the resulting DLLs in the Global Assembly Cache (GAC). This precompiles all the serialization objects used by the assemblies SGEN was run against and caches them in the resulting DLL. This can give huge time savings on the first deserialization (loading) of config files from disk and initial calls to web services. http://msdn.microsoft.com/en-us/library/bk3w6240(VS.80).aspx
If any IIS servers do not have outgoing access to the internet, turn off Certificate Revocation List (CRL) checking for Authenticode binaries by adding generatePublisherEvidence=”false” into machine.config. Otherwise every worker processes can hang for over 20 seconds during start-up while it times out trying to connect to the internet to obtain a CRL list. http://blogs.msdn.com/amolravande/archive/2008/07/20/startup-performance-disable-the-generatepublisherevidence-property.aspx
http://msdn.microsoft.com/en-us/library/bb629393.aspx
Consider using NGEN on all assemblies. However without careful use this doesn’t give much of a performance gain. This is because the base load addresses of all the binaries that are loaded by each process must be carefully set at build time to not overlap. If the binaries have to be rebased when they are loaded because of address clashes, almost all the performance gains of using NGEN will be lost. http://msdn.microsoft.com/en-us/magazine/cc163610.aspx