Here are some random thoughts to keep in mind for my sessions:
Game is PnP style: Don't limit yourself to the game engine or what's obvious in terms of the environment, to succeed you may have to think out side the box, the box being the computer

.
(Example: Ask to climb the roof from the back and jimmy a window if you're trying to slip into a busy story undetected)
Play your stats (and be aware of them too): If you have an 8 Chr and all your skill points are in parry and stealth, you may want to think twice about trying to bluff the guard. Don't assume you can pump all your points into physical stats and then rely on your natural charm as a player. Likewise, don't expect that high stats and rolls will get you by without good dialog and creative thinking either.
For our shadier types:
Evil is as Evil does (to quote Forest Gump): Playing an Evil pc can be challenging in a party full of evil pcs. If you choose to play the brooding, anti-social, CE character that hates everyone don't be surprised if you're not well received into a party and either killed or drinking alone at the bar. Remember most sociopaths make great neighbors, just poor dinner companions (ala Jeffery Dommer), so try and have some fun with evil. If your PC's answer to every conflict with other players is an intimidate roll then expect CvC, and remember there's almost always a bigger, tougher bully on the next play lot. Those of you who are fans of the Soprano's will remember Tony. Tony Soprano is a great example of an evil man filled with conflict, remorse, anger, rage and love. Villains in reality are all these things and more. Remember a big part of the xp is rp related, and the more complex your pc the better the rp.
Lastly,
think through your actions: Take time to get to know the rules of the communities in which you steal, rob, lie and murder. Silvermoon proper is a dangerous place for criminals, between the High Magic and the Knights of Silver, the Harpers, the Legion and more goodly aligned priests and paladins then you can shake an ice pick at. Always feel free to ask ooc what your pc might know that you do not.
I hope this helps
Regas