depends. memcache will reduce the load to the DB, but it actually might make it slower. So if your DB load is high and your webserver load is low, then turn memcache on.
eaccelerator is essential IMO. Caching frequent php pages will make your page load much faster and reduce the load of your web service.
don't have experience with w2003/mssql setup (in testing performace was 30% slower in windows vs a linux/mysql enviroment).