When managing multiple servers I find this to be an essential tip.
From the menu bar select 'Tools > Options '.
Then from the 'General' pane (shown below), select 'Open empty environment' in the 'At Startup' drop down menu.
This means you will no longer be prompted to connect to the last server you were using when you start Management Studio.
Use this together with the other SSMS speedup tips listed here to speed up your Management Studio experience.