What components are most important If I want to speed up compiling and linking time?
Investing on a fast processor is the best choice in my experience, even if you will not need many cores or multiple CPU for compiling (however it is good having more cores than needed, so other tasks will not slow down compiling), just good clock and IPC.
Fast disks are always good, SSD is better for random read/write (many small files), RAM disks are even faster (but somewhat unpractical for daily usage).
But IMHO having the data cached in RAM is the better option, so if you have a reasonable amount of RAM next times you read the files the mass storage, on a modern system, should be only minimally involved.
In my experience, reading / writing files is faster on Linux than on Windows, but overall compiling and linking even a big project is reasonably fast with Lazarus on any system and any reasonably powered machine.
For example on Linux I mostly work on virtual machines, and Lazarus performances used to be acceptable even on VM hosted on 5 years ago hardware.