Bob Ward (who is a very senior Escalation Engineer with Microsoft SQL Server PSS), has a good post about whether you need to grant the Lock Pages In Memory right to the Local System account for SQL Server. I would argue that you should not be using Local System for the SQL Server System account beyond local testing.
"Lock Pages In Memory" allows SQL Server 2005 to manage its own paging (as opposed to having the operating system do it). It is extremely important to give this right to the SQL Server Service account, especially on 64-bit SQL Server 2005 systems with lots of RAM. One thing to note is that this is an Enterprise Edition only feature.
It is also important to set the max memory setting for SQL Server (at the instance level), to leave sufficient RAM for the OS and other SQL Server features beyond the buffer pool. For example, if you had a an x64 SQL Server 2005 Enterprise Edition instance on a machine with 32GB of RAM, you would probably want to set the Maximum server memory to 29000 (for 29GB). See below.