1. Install a DSL splitter.
Toss the little beige inline filters the self-install kits come with, and replace it with a DSL splitter at or near your phone box.
At my first residence to get DSL installed, I was fortunate enough to have a technician come out and do this- in fact, at the time (5 years or so ago), I think that was the only way to get DSL installed. Now the providers look to make a fast and easy buck by sending you a do-it-yourself kit- at the expense of your transfer speeds. Not only do these cheapo filters have a high rate of failure (so I'm told by both PacBell and my DSL provider Sonic.net), but you're also going to have cross-talk noise, and ugly little boxes connected to things all over your house. The DSL splitters are easy to install, and will make a difference.

2. Upgrade your router firmware.
I've got a decent Netgear router that worked fine out of the box. Thing is, it went up at the same time as the new DSL install, so I had no transfer speed expectations prior to have noticed an issue. One day, Mr. Watt shoots me an email suggesting I upgrade the firmware to correct a latency issue we were seeing when browsing a particular website. (That one is still a mystery. Why would a router slow down just one website?!) Prior to doing the upgrade, I decide to record my transfer speeds. After the firmware upgrade, 10 dot revs behind, my transfer speeds were greatly improved. I was getting a measily 120kbps down, which I came to expect given I'm a mile from the PacBell junction. After the upgrade, I was seeing closer to 300kbps. Who woulda thunk?

3. Run CatV rather than phone cord.
All the way to the phone box if feasible. You want as much good quality twisted pair carrying your signal as you can. Phone cord is unshielded, non-twisted wire. In a nutshell, that means it will degrade your signal quality due to interference and stuff. If you don't have access to a spool of Cat V cable and a crimper and don't want to shell out the dough for one, buy the best quality (and shortest length that will manage) phone cord and swap it out. Don't use those crappy ones that come for free with phones and DSL modems. Chances are, you'll see a noticable difference swapping back and forth between any 2 cables. Its scary.