Over the past few years, we were called in to assist clients with poor performance of their site. Many of these were using Pressflow, because it is "faster" and "more scalable" than Drupal 6.x.
However, some of these clients hurt their site's performance by using Pressflow, rather than plain Drupal, often because they misconfigured or misused it in some way or another.
Setting cache to "external" without having a caching reverse proxy
We saw a couple of cases where clients would set the cache to "External" in admin/settings/performance, but they are not running a reverse proxy cache tier, such as Varnish or Squid.
What happens here is that Pressflow will not cache pages for anonymous users, and just issue the appropriate cache HTTP headers, assuming that a caching reverse proxy, e.g. Varnish, will cache them.
Performance of the site will suffer, since it will be hit by search engine crawlers.
The solution is simple: either configure a reverse proxy, or set caching to "normal".
Setting Page Cache Maximum Age too low
In admin/settings/performance, there is a configuration parameter called "Page cache maximum age" (in Pressflow, which is called "Expiration of cached pages" in Drupal 7.x). This value should not be left set to "none", because that means items will not be left in the cache for sufficient time for them to be served for subsequent users. Setting it too low (e.g. 1 minute) has the same effect too.
Do set this parameter to the highest time possible if you have an external cache like Varnish or Squid.
Enabling modules that create anonymous sessions
Both Pressflow 6.x and Drupal 7.x disable page caching for anonymous users if a session is present.
This means that if you have a module that sets a cookie, caching will be disabled, because a cookie needs a session to store it.
This means that code like this will disable page caching for anonymous users:
$_SESSION['foo'] = 'bar';
The Pressflow Wiki started an effort to list such modules here: Modules that break Pressflow 6.x caching and how to fix them and here: Code that sets cookie or session, but with so many modules being written, it is virtually impossible to have a complete list.
We have seen such cases from such developers where a site that was perfectly working previously is rendered fragile an unstable via one line of code!
Not that this fault applies to Pressflow 6.x, and to Drupal 7.x as well.
If you are using the former, then you can solve the problem temporarily by switching to Drupal core 6.x instead of Pressflow 6.x. Drupal code 6.x does not mind cookies for anonymous users.
Using Varnish with hook_boot() or hook_exit() modules
When using an external cache, like Varnish, all anonymous requests do not hit Drupal at all. They are served from Varnish.
So if you have modules that implement hook_boot() or hook_exit(), then the code that is there will not be triggered at all. If you rely on it for some functionality, then it will be hit only the first time the page is accessed.
For example, the core statistics module hook_exit() increments the view count for the node. If you enable this module with this functionality, then these figures will be far lower than the real numbers, and you are better of disabling this module rather than having inaccurate numbers.