Finite cut-off effects strongly influence the thermodynamics of lattic
e regularized QCD at high temperature in the standard Wilson formulati
on. We analyze the reduction of finite cut-off effects in formulations
of the thermodynamics of SU(N) gauge theories with three different O(
a(2)) and O(a(4)) improved actions. We calculate the energy density an
d pressure on finite lattices in leading order weak coupling perturbat
ion theory (T --> infinity) and perform Monte Carlo simulations with i
mproved SU(3) actions at non-zero g(2). Already on lattices with tempo
ral extent N-tau = 4 we find a strong reduction of finite cut-off effe
cts in the high temperature limit, which persists also down to tempera
tures a few times the deconfinement transition temperature.