No matter how tough or invincible you think you are, you're probably not, so always be prepared with healing potions, and escape spells.

Having a sword that soul traps creatures on strike is good until you accidentally put a mudcrab into a grand soul gem.
Running around naked will not get you popular, no matter what your gender is.
Having the crosshair off is basically a death sentence. Keep it on.
Marksman weapons are good, but if you're not fast, they can prove kind of bad at close range.
Don't be surprised when guards don't do their duty and let you get killed by something in the middle of a town.
Don't become both a Vampire and a Werewolf. Try going out at night as a wolf or try going out in the day, becoming one crispy vampire.
Don't become a werewolf, period. Get Hircine's ring and have fun.
Running is a great way to boost your athletics and speed, but jumping is quicker.
Put acrobatics as a minor skill. Always minor. If you put it as a major, it's a good 15-point boost gone for nothing, if you don't have it as a skill, you're missing out on many levels.
Once you reach a level where basically no one can hurt you, have fun, get a bounty, kill some guards. The game's practically over. Enjoy its last few drops of goodness.
If you see something that looks dangerous, it probably is, so think twice before doing anything.
Don't kill the man in Daedric Armor in Tel Fyr. Daedric Armor is a clear sign that Bethesda is taunting you by making the armor so friggin hard to get.