I have developed a new version of R, called pqR, that is based on R-2.15.0, with many modifications to improve speed (plus some fix bugs and add features). One notable improvement is that pqR can automatically take advantage of multiple processor cores for numerical computations.
The pqR home page is at pqR-project.org. There are also posts discussing pqR on my blog.
I also have developed a set of Speed tests for R.
Before developing pqR, I released two sets of patches to speed up previous versions of R. These are now obsolete, but are still available below: