[Slartibreakfast]

You're probably already aware of it, but Martin Thompson of LMAX has done a lot of great work on HFT systems and his blog "Mechanical Sympathy" is excellent:

http://mechanical-sympathy.blogspot.com/

Although a lot of people think HFT is just a race to the bottom (and they are probably right) it's still great fun to try and wring every last nanosecond of performance out of your code.