Remove the OEM wallpaper.
Many machines come with a fancy wallpaper when you turn them on. Locally, this isn't a problem... however, when you connect via Remote Desktop, you get to watch this wallpaper download slowly, every time you connect. (You can disable the *actual* wallpaper that the desktop shows after logon in the RDP client, but this splash-screen isn't disabled when you do so.)
The fix is easy, delete the registry key: /HKU/.default/Control Panel/Desktop/Wallpaper. Alternatively, pointing it at a BMP that doesn't weigh in at 1MB. Either way, your remote desktop logon will be *much* faster.