...talk to strangers - this is one of the only times it's OK!

...use the buddy system (especially women).

...bring a camera and use it often - if people haven't seen it, they won't believe it.

...try to stay near the action (i.e. in the French Quarter in New Orleans).

...if you are visiting a new city for the celebration, try to do some sight-seeing during the day.
 
  ...spend all of your time in one place (in a bar, on the street) - there is a lot of fun to be found everywhere!

...harrass the cops - they are just doing their job (and a fine one at that!)

...promise something (beads, flash, kiss, etc), then not carry through.

...urinate in public.

...get so drunk your first night that you are too hung-over to enjoy the rest of your trip.

...carry a wallet - just a room key, ID and a little cash in your front pockets.

...walk around secluded side streets at night (i.e. stick to Bourbon or Royal in the French Quarter).

...be pressured into flashing - you can get plenty of beads without doing it!