If you're using an external drive in Vista, it'll be optimized for safety so that you can remove the drive while it's in use and no data will be lost. If you can live without the ability to remove drives that are in use by ejecting them safely, then you can configure your external drive so that it'll be faster by using write caching.

To set this up you need to go to the Control Panel and choose the Device Manager. Click the + next to Disk Drives to show all of your drives. Then double-click on the external drive that you want to speed up.

When the Properties window for the drive opens, click on the Policies tab. Then click on the radio button next to Optimize for Performance. Press the OK button to save this change... you'll get a warning that you need to restart your machine for the change to take effect and it'll ask if you want to restart now or not.

Making this change can provide a significant speed increase with your external drive. But you need to make sure that once you set up your drive this way you safely remove the drive before you disconnect it to avoid losing data.