If you like delving into the depths of how a Windows system is performing (or not performing) then a recently released toolset may be of interest to you. Released initially as part of the Windows SDK for Windows Server 2008 and .NET Framework 3.5 but since updated, the Windows Performance Tools Kit can be downloaded on its own here.
Built on top of the Event Tracing for Windows (ETW) infrastructure which has been steadily expanding in scope over the last few years, the new toolset makes both gathering and analysing traces considerably easier.
I won't profess to know much about these tools yet but I found a a very useful series of blog posts introducing the tools here:
Also, the SDK documentation is online here.
When you install the tools a quick start document is included (called Performance.Analyzer.QuickStart.xps - if you want to read that on a non-Vista or Windows Server 2008 machine you will need to have .NET 3.0 installed. Alternatively you can download an XPS viewer from here). The fact that it is a "quick" start guide and yet it runs to around 65 pages will give you some idea of how substantial these tools are.
Windows, Performance, Toolkit, Xperf, SDK