Missing files

When a request is made for a file that does not exist on the server, a 404 error is generated. If this is a single page element, it may not be obvious that there is a problem. Performance will still be impacted as there is a round-trip cost involved in making the request and receiving the error message. If a bad request is made and interpreted as a page, rather than a file, then a full 404 error page is returned. If you have a verbose 404 page for usability reasons, then returning this each time will hit bandwidth.
If that's not bad enough, what about a JavaScript 404?

Testing

The Firebug extension for Firefox and Fiddler will show the error codes for any missing files/pages.

Solution

Check all the 404 errors. These may arise from simple mis-typing, configuration problems on the server, or from 3rd party code generating mangled dynamic requests.
Make favicon.ico small and cacheable