Decreasing download sizes isn't even in Yahoo!'s list of rules -- probably because it's so obvious. However I don't think it hurts to reiterate the point -- let's call it Rule #0.
When we look at a simple web page we see:
some HTML code different page components (assets) referenced by the HTML
The assets are images, scripts, styles, and perhaps some external media such as Flash movies or Java applets (remember those?). So, when it comes to download sizes, you should aim to have all the assets as lightweight as possible -- advice which also extends to the page's HTML content. Creating lean HTML code often means using better (semantic) markup, which also overlaps with the SEO (search engine optimization) efforts that are a necessary part of the site creation process. As most professional web developers know, a key characteristic of good markup is that it only describes the content, not the presentation of the page (no layout tables!). Any layout or presentational elements should be moved to CSS.
Here's an example of a good approach to HTML markup for a navigation menu:
This sort of markup should provide "hooks" to allow for the effective use of CSS and make the menu look however you want it to -- whether that means adding fancy bullets, borders, or rollovers, or placing the menu items into a horizontal menu. The markup is minimal, which means there are fewer bytes to download; it's semantic, meaning it describes the content (a navigation menu is a list of links); and finally, being minimal, it also gives you an SEO advantage: it's generally agreed that search engines prefer a higher content-to-markup ratio in the pages that they index.
Once you're sure your markup is lightweight and semantic, you should go through your assets and make sure they are also of minimal size. For example, check whether it's possible to compress images more without losing too much quality, or to choose a different file format that gives you better compression. Tools such as PNGOUT and pngcrush are a good place to start.