You'll probably learn this stuff as you go anyway, but it might save a few tears...
Don't wander without a compass. You don't have the luxury of teleporting to other players on your map, or teleporting anywhere. Start out with a base, and plan where you want to go, and make sure you make it clear how to get back to your base. A compass is vital, as that will point the way home - once you have a compass you can wonder for miles and still make it home quite quickly. It is very very very easy to wander off and find lots of things to explore, then realise your miles from anywhere and are left with the option of dying and respawning, or spending hours trying to backtrack. Plan your outtings as if they were expeditions, make sure you have food and a bucket of water in case of any lava trouble. You might find a load of iron ore, diamonds, anything really that you'll be very sad to loose.
Try making your house/base on stilts - then have a 1 block gap to get into your base - it is fairly common for enemies to get into your shit, even when you have doors and what-not. The best defense is making it practically impossible for creepers to get too close. They are the ones that'll screw you over, they'll follow you home and a creeper at the door can be a nightmare to deal with. Better to have them follow you, but then fall down a pit or something away below your base. I suggest making a secure little base somewhere first, then scout a location where you can have something more secure, bigger, better - but always have somewhere secure to go, with a bed. Spiders can be a pain, they climb - even the most secure base can have spiders on the roof in the morning. Cactus can help keep mobs at bay, try and get some early, grow it on sand, wait till it's 3 blocks then pinch the top 2 blocks, leaving the bottom block to keep growing.
Start a farm, 2 block wide strips of dirt with a 1 block deep water channel works well, like a little paddy field - grow lots of wheat, make lots of bread - Wheat is good for luring animals and making them breed, it's not the best idea to go slaughtering wildlife right away - farm the little buggers and slaughter the overflow, much more efficient.
Always have tons of torches, I don't leave the house without a full stack of 64. When spelunking (mining/exploring), take your time - it's very easy to get distracted by some interesting cave structures, get lost, loose diamonds etc very easily. Make a chest and make a hub to explore from. Often you have to dig yourself out, diagonally up, like a hellish staircase. If you need to use that route a lot, add in some stairs made from all that cobblestone you have, it uses it up and makes the stairs much more sufferable - does mean an extra block high though to avoid banging your head. Be wary of lava - always have a solid block ready in case you find a leak - the better you are at stemming leaks, the less likely you are to burn alive. Lava tends to be lower down, but it can crop up anywhere really.
When building, consider switching the difficulty to peaceful - so you don't have to worry about mobs ruining your stuff before it's even finished. Before long you'll be making crazily massive structures that take time - it's enough to worry about not falling and breaking your neck, there's no shame in going peaceful build mode, nobody who makes those elaborate massive structures you've seen does it with monsters on.