The most difficult thing for me was to collect and organized performance metrics from servers under load. Performance Monitor was my main tool. When Visual Studio Tester edition came up I was astonished how easy it was to work with performance counters. They pre-packaged a list of counters for a web server, SQL server, ASP.NET application, etc. I learned about a bunch of performance counters I did not know even exist. In addition you can collect your own counters too. You can store metrics after each run. You can also connect to production servers and see how they are feeling today. Then I see all those graphics in real time I feel empowered! :) If you need more load you can get VS Load Agents and create load generating rig (or should I call it botnet). Comparing to over products on the market it is relatively inexpensive. MS license goes per processor but not per concurrent request. That means you can produce as much load as your hardware can handle. On average, I was able to get about 3,000 concurrent web requests on dual-core, 2GB memory computer. In addition you can incorporate performance tests into your builds.
Of course it goes for Windows. Besides the price tag of about $6K for the tool could be a bit high, plus the same amount of money per additional load agent.