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Assuming MySQL here, use EXPLAIN to find out what is going on with the query, make sure that the indexes are being used as efficiently as possible...
In SQL Server, execution plan gets you the same thing - it tells you what indexes are being hit, etc.
Not necessarily a SQL performance trick per se but definately related:
A good idea would be to use memcached where possible as it would be much faster just fetching the precompiled data directly from memory rather than getting it from the database. There's also a flavour of MySQL that got memcached built in (third party).
I've made it a habit to always use bind variables. It's possible bind variables won't help if the RDBMS doesn't cache SQL statements. But if you don't use bind variables the RDBMS doesn't have a chance to reuse query execution plans and parsed SQL statements. The savings can be enormous: http://www.akadia.com/services/ora_bind_variables.html. I work mostly with Oracle, but Microsoft SQL Server works pretty much the same way.
In my experience, if you don't know whether or not you are using bind variables, you probably aren't. If your application language doesn't support them, find one that does. Sometimes you can fix query A by using bind variables for query B.
After that, I talk to our DBA to find out what's causing the RDBMS the most pain. Note that you shouldn't ask "Why is this query slow?" That's like asking your doctor to take out you appendix. Sure your query might be the problem, but it's just as likely that something else is going wrong. As developers, we we tend to think in terms of lines of code. If a line is slow, fix that line. But a RDBMS is a really complicated system and your slow query might be the symptom of a much larger problem.
Way too many SQL tuning tips are cargo cult idols. Most of the time the problem is unrelated or minimally related to the syntax you use, so it's normally best to use the cleanest syntax you can. Then you can start looking at ways to tune the database (not the query). Only tweak the syntax when that fails.
Like any performance tuning, always collect meaningful statistics. Don't use wallclock time unless it's the user experience you are tuning. Instead look at things like CPU time, rows fetched and blocks read off of disk. Too often people optimize for the wrong thing.