In several previous tips(like Turn caching on!, Caching reloaded, Give a boost to your Joomla site and couple of others) I urged you to turn caching on wherever is appropriate. Recently one of my readers had criticized me, because he tried to follow the tip, but on several modules he used simply he didn't found the option to turn cache on (or off) in module settings.
Indeed, this might be a problem, since some modules does not have this option! this little detail don't need to stop you to do so!