Haven't DMed much in a while, I got lazy and just wanted to play (hey! DMing is a lot of work! ;) )
I've DMed a few campaigns and Percivellian's advice is on the money. Especially the parts about expecting the players to do what you least expect (don't anticipate this, just be prepared, know...
One other note about Mage Armour and Shield: Shield prevents magic missles from striking the caster/bearer (good spell to have at almost any level), both prevent incorporeal touch attacks (probably not a problem at level 1), Shield provides a shield bonus whereas Mage Armour provides armour...