<p>I'm developing non-interactive cpu-bound application which does only computations, almost no IO. Currently it works too long and while I'm working on improving the algorithm, I also think if it can give any benefit to change language or platform. Currently it is C++ (no OOP so it is almost C) on windows compiled with Intel C++ compiler. Can switching to ASM help and how much? Can switching to Linux and GCC help?</p>

Switching to ASM is not going to help much, unless you're very good at it and/or have a specific critical path routine which you know you can do better. As several people have remarked, modern compilers are just better in most cases at taking advantages of caching/etc. than anyone can do by hand.
I'd suggest:
Try a different compiler, and/or different optimization options
Run a code coverage/analysis utility, and figure out where the critical paths are, and work on optimizing those in the code
C++ should be able to give you very near the best possible performance from the code, so I wouldn't recommend switching the language. Depending on the app, you may be able to get better performance on multi code/processor systems using multiple thread, as another suggestion.