The Yahoo UI blog has a good review of the performance impacts of multiple HTTP requests.  As you would expect, reducing the HTTP requests has a big impact on the web page performance.

Unfortunately the post only talks about the problem.  We have to wait for Part II to see what the impact of caching is and what the "surprising real-world" findings are.

P.S. There's a Firefox utility called Firebug that help do this sort of diagnosis (plus a whole bunch of other cool things)