I was reading SQL Server I/O Basics, Chapter 2 when I came across a very interesting chapter discussing the "Lock Pages In Memory" policy.
You all know that the AWE API is used to lock pages in memory and this is true for 32-bit as well as 64-bit SQL Server installations. Do note that the "awe enabled" configuration settings exists in 64-bit installations but it is of no meaning. In order for this to function the "Lock Pages In Memory" privilege is needed for the SQL Server service account. In a 32-bit environment the "awe enabled" configuration settings still has to be enabled.
But the thing I really learned here is why I/O can be improved by this setting. Because memory for an I/O should not cause page faults, the memory first has to be locked, the I/O goes through and the memory has to be unlocked again. Having the "Lock Pages In Memory" privilege avoids this lock and unlock transition during I/O and thus improves performance. This behavior can be disabled by removing the privilege or by enabling trace flag 835 (for 64-bit installations).
If you do decide to use AWE and thus "Lock Pages In Memory" do test your solution thoroughly with this setting. It might cause memory pressure which could lead to performance degradation. You might also want to consider specifying a max memory setting when you enable this. One of the side effects of AWE is that the specified memory is grabbed as soon as SQL Server starts. As of Windows 2003 and SQL Server 2005 this however has been solved through dynamic allocation of AWE memory.
Another, unrelated, interesting fact that is mentioned in the paper is that using "Encrypted file systems" (EFS) stops I/O from being done in an asynchronous manner. This could of course hinder performance, especially for checkpoint operations. I can't say I ever thought about doing this but just so you'd remember.
I found a KB article KB922121 discussing the EFS behavior with SQL Server.