Upgrade to 6.1 if you don't already have it. Then run the test script for the PHP Accelerator. If it shows your server as having ZLib installed, turn on the Accelerator and use it. ZLib compresses pages server-side and the browsers decompress them later, so the actual amount of bandwidth transfer is significantly less.
If your server doesn't have ZLib, the Accelerator won't really do anything to reduce bandwidth transfer, afaik - but that's not your only option. Look in our Mods Beta forum for AllenAyres' topic on UBB Compression. This accomplishes the same thing above, but with plain ol' Perl instead of the PHP wrapper. Just compresses all the pages and sends them for decompression later.
That's the best way to reduce bandwidth. In response to your "smart server" question, nope, to my knowledge something like that doesn't exist. However, browsers have their own cache, so downloaded images and pages are saved locally. Multiple instances of the same image are referenced off your local copy instead of redownloaded.
---Skorpion