Sebastian Bergmann has two recent posts dealing with some of the more difficult topics in unit testing. One looks at sharing fixtures between tests and the other talks about stubbing and mocking static methods in your tests.
From the first of the two tutorials:
A good example of a fixture that makes sense to share across several tests is a database connection: you log into the database once and reuse the database connection instead of creating a new connection for each test. This makes your tests run faster.
This fixture sharing example uses the setUpBeforeClass and tearDownAfterClass methods to create and destroy the connection.
In the second article Sebastian shows how to mock up a sample static function and mock it with the "staticExpects" helper.