Try using a caching plugin. There's plenty available, the two most popular being WP Super Cache and W3 Total Cache. If you're just starting out with caching, I'd recommend W3 Total Cache, as it is rather easy to set up and includes a lot of options. It's even used by some of the bigger sites such as iPhoneClub.nl, The Next Web, and Digital Trends. [source]
Normally each time someone visits your site WordPress has to dynamically build the page by making database queries and loading theme template files. A caching plugin saves the output as a static HTML file, and serves that to your visitors instead. Each time you modify your site or write new content, you need to empty the cache and the plugin will start building HTML files again. This saves a great many database queries and requests.
One last thing: if you have restrictive resource limits, or you happen to use the BuddyPress plugin, I would instead recommend Hyper Cache, as it's specifically built for that purpose.