Enable Keep-Alive (Page Speed)
HTTP Keep-Alive (otherwise known as HTTP persistent connections) configures the HTTP server to hold open a connection so that it can be reused by the client to send multiple requests thus reducing the overhead of loading a page. Each server and environment are different, so setting it up depends on your environment.
In short: if you're using HTTP/1.0, when making the original request (assuming your server supports it) add a Connection: Keep-Alive header. If the server supports it, it will return the same header back to you. If you're using HTTP/1.1 and the server is configured properly, it will automatically use persistent connections.
Be aware that while Keep-Alive provides some benefit at low volumes, it performs poorly at high volumes for small and medium-size sites (for example, if your blog gets Slashdotted). This Hacker News thread has some good background information.
In other words, while many of the PageSpeed recommendations are great across the board, this one should be taken with a grain of salt.