well, for one, unless you're gonna use it, don't install support for cd burning/ripping (sonic engine has to load each time winamp opens).
Or, at least uncheck "use sonic engine" in Prefs > CD Ripping.
Also, in Prefs...
Media Library > Library Options tab
Checkmark: do not load database at startup
Media Importing tab
Uncheck: Rescan folders at startup
Show splash screen
Check for new versions at startup
Allow Winamp to report anon usage stats
If you're opening Winamp by loading a large folder of MP3's via Explorer context menus...
Prefs > Titles
Checkmark: Read metadata when files are played/viewed
There's other things like:
Prefs > File Types > Restore file associations at startup
But, unless you don't have any other intrusive players installed, I recommend you keep this checkmarked
Likewise for Global Hotkeys.
If you don't use them, disable it.
All Gen plugins load at Winamp startup, same with all Input plugins too; and the active dsp plugin, if one is selected).
There's probably a few more too,
eg. font settings in Modern Skins > Font Rendering, etc etc.
But if you use any Classic skin, then loadup times should be pretty much the same as 2.9x, on any cpu.