One habit I've picked up from Red Orchestra which I'm now carrying through into other games (unless it'd be blatantly pointless or even dangerous *cough*Halo*cough*, but at least in games like CoD and L4D) is that I rarely reload if I'm partway through a clip (excepting examples such as shotguns, which reload one round at a time anyway). So pretty much the opposite of all you compulsive reloaders out there.
When I play Europa Universalis III, and I get into a war, I have a doctrine to
always come out on top somehow. Even if I'm in a weakened state, involved in more wars than I have armies, I just let that one extra war simmer until I can spare an army and take one province, or some gold, or subjugate them. Only rarely do I sign a white peace, and then only if I have no prospect of getting anything out of the war any time soon (e.g. I'm technically at war with the Timurid Empire in the Caucasus, with almost no action, and all my armies are tied up in Italy and the Balkans, and will be for quite some time). Even if the enemy has a momentary advantage, e.g. they outnumber my armies in the area and have besieged and taken some provinces, I'll wait and fight a war of attrition until I liberate my provinces, conquer some of theirs and claim one or two in the peace settlement.
I'm almost a compulsive technophile, and in almost any game featuring any research whatsoever, I'm going to focus pretty heavily on tech and research, sometimes to the near-exclusion of other fields. Hence why, in Hearts of Iron II, I tend to have 1951-era armour (the most advanced in the game), advanced jet fighters and nuclear missiles by 1947-8, but only a few divisions apiece.
One thing I also tend to do in the aforementioned HoI2, is group divisions based on their names. The most prominent case is when I play Germany, and all the pre-named Waffen-SS Panzer divisions get grouped into one solid army, often the first to the fight and hence the most experienced.
One quirky, neurotic habit I have (stemming largely from playing singleplayer on Easy 90% of the time in 90% of my games) is that I tend to build specifically-composed armies before attacking (note that up until fairly recently, I played RTS almost exclusively). Usually, I build units in groups of 5 or numbers divided by 5 - so, for instance, 25 basic infantry, 20 heavy infantry, 15 light vehicles, 10 tanks, 5 artillery. And if some of them die, I fill them out to the original number. Sometimes, I even halt my attacks to wait for reinforcements to arrive to replace the three rifle guys and one Humvee that got popped off. Recently, I'm coming off this habit somewhat, but still the "dividable-by-5" thing is still something I do without considering it (unless it's impossible, usually because of hard caps - World in Conflict and Dawn of War are good examples. But I'm talking "traditional" base-building RTS here, like C&C or Age of Empires). And I still have something of a hard time taking losses.
Sometimes, in Red Orchestra, I tend to try and take command a little, saying stuff like "ok, we need T-34s there and there because they're fast rushers, and IS-2s go straight there and there to deal with expected heavy opposition". I guess it stems from my RTS background, and partly from the fact that the game is intended to be played as a cooperative, somewhat coordinated game instead of just a bunch of fuckwads dicking around with tanks. It usually doesn't really work.....
Also in Red Orchestra, almost always when I play as a rifleman or a semi-auto rifleman, I affix my bayonet to my rifle when spawning. It costs me a second or two of sprinting time towards the battle lines, and I've only made a bayonet kill on another player something like two or three times, but
you just never know.....
