This is something that can really make a difference, but this is an optimization field that is not very well known. Browser don't download all your files in parallel, they always only download one, two or maybe three files in parallel, this is why your browser Network Tab (firefox firebug / chrome developer tools) shows a so called waterfall of downloads. To fix this you have two options. The http 1.1 specification for example recommends no more then two parallel downloads.
You could try to put your static files, like images on different hostnames. Those can be different domains or sub-domains. You could put images on static1.example.com and other on static2.example.com or setup a cdn at cdn.some_cdn_host.com and put files there to increase the amount of parallel downloads.