If you have thousands of categories/subcategories, your category selector on the suggest listing/category pages will fail because the full selector options can't be generated due to memory or time limitations. Beyond 400 subcategories usergroup permissions will be ignored in order to speed generation (it'll simply inform the person they lack permisison after they click sumbit). After a thousand or two subcategories, the selector will just turn itself off to avoid killing the site. If using 5.0.0 or later, you can switch to the level-based selector -- it'll work with millions of categories.

If your load levels have grown excessively high due to your large amount of traffic, consider whether or not you can use the cache system for guests.

If you have near a million listings, insertions (the addition of a new link) will become impractically slow to the point of breakage. To fix this you need to switch off 'similar listings' and use phpmyadmin to delete the fulltext index from the wsnlinks_links table of the database.

If there will be hundreds or thousands of listings owned by the same member, you may also need to be careful about the member rating forumla and listing importance formula you use. The default formula is a simple one that won't be a problem, but if you've changed it to something server-intensive (or originally installed a very old version which had a more intensive formula):
1) Go to Admin Panel -> Members -> Settings and change the rating formula to something simple.
2) Go to Admin Panel -> Settings -> Listings and change the importance formula to something simple.

If pages take too long to load sites should ensure that they do not have an excessive number of toplists on a page. If server load is an issue you may also want to consider turning on caching for the guest usergroup (Admin -> Settings -> General), perhaps triggered by a server load over 3.

If excessive RAM is being used, turning off some switches (such as private messaging and instant messaging) helps.

With large numbers of listings in a directory, the effective time and expirations switches slow things down due to their need to get a live running total of listings that haven't expired or have become effective -- turn them off if you don't need them.

Admin Panel -> Settings -> System also offers an emergency load control mechanism, and Admin Panel -> Settings -> SEO allows you to throw 404s to any rogue bots or denial-of-service attackers.