You could optionally turn the JIT off. This will make the applet load faster, but unfortunately run slower. These are the basics of well-performing code and coincidentally, have nothing to do with Java. However, once you have this part right there are actually many things you can do. I would suggest that if you are having a performance problem, you look closely at your String manipulation code.
Many people use Strings inefficiently.
Another place to focus on is any multithreaded code. Just because you use multithreading doesn't mean your code will be faster. If it is not done correctly or has too much synchronization, you can hurt yourself. I'm trying to create a class which is supposed to access a datafile and read fields off a single record. But that would mean having to open and read the datafile every time, but you don't waste memory.