Most of my GM experience is not CoC but there are a couple of things I'll mention.
Assuming no one in your group has played CoC before but are somewhat familiar with d20, then COC:d20 is a great game (personally, I think it's the best conversion of a game system out there). Monte & friends did a terrific job on it and everything you need is right there, from spells to monsters.
That said, if anybody in your group has played CoC before -under Chaosium "d100/BRP" system, they might find COCd20 a little more combat-oriented. Some folks have claimed it's too "Pulp" for classic COC play. <shrug> I think the GM's style is the real factor there.
OK, on to tips and advice. COC is
generally more RP intensive than D&D. This means that A) combat is usually not a first (or second!) choice and B) players will need to "play their parts" more. COC is a game about tone. It is Horror RP,
not Fantasy. One of the things that I think needs to addressed is that the players need to understand that it's kind of like going to a scary movie; part of you has to
want to be scared. If the group is prepared to cooperate by helping to keep the mood as opposed to a "Go ahead, just TRY to scare me!" kind of attitude, things will run smoother.
COC adventures are usually "investigations." This means a lot of talking to NPCs, searching for clues, etc. As GM, prepare a lot of NPC names and descriptions ahead of time. If they talk to the nurse on duty at the hospital, they'll get into the scene and the "feel" if she is a character with a name and face as opposed to a "cardboard prop." The same goes for places, have descriptions ready. Not whole pages, but a line or two to distinguish the seedy saloon from the family diner in the players' minds.
Players should keep this 'investigative' aspect in mind when selecting feats and skills. Combat ability is fine and has its place, but shouldn't be the emphasis for the party.
Many folks have recommended creepy music and dim lighting. Don't overdo it but it can really help make things a bit spookier.
Often players, especially -it seems- those from a Fantasy background, will try to strategize their way out of the danger. Once they realize that COC is a more lethal game, NTM the Sanity issues, they might try to get themselves out of harm's way by just blowing up the old house from the start and never exploring the cellars, etc. The best advice I can give here is give them a reason that this won't help. Deep ones kidnapping folks? Running away won't save the party; because once the Deep ones have enough victims, they'll perform the rite that bring Cthulhu to the surface and the whole world is doomed (party inculded). Make a potential suicide mission the lesser of two evils, etc. Make sure the party has a chance to find this out before they buy the dynamite. If they fail to follow up on clues and blow the house up anyway, fine. Just describe to them
in horrible detail what happens to the world and their characters when the rite is completed and ol' squidhead wades up on shore and eats them.
The COCd20 offers lots of good advice about runniing the game too. Also, I would really recommend that everyone playing have read at least one HPL short story. Many of them are available online for free reading (public domain).
Here's a link.
Oof! I babbled a bit more than I intended. Well, hope some of it helps anyway (I really shouldn't post before having my coffee

)