I've learned only a few things, really. That's partly because I get so rare an opportunity to play.
1) The power of Player-created Goals, direction, and a DM with a "World-Reactive" attitude. I had a great GM for a game of Exalted. He encouraged us to do stuff out of game - write stories, come up with plans. He also expected each of our PCs to have goals, what we wanted, and then pursue those goals. Half the plots in the entire game were the group working to accomplsih their own goals.
It was very, very satisfying, compared to "Here is the plot I have prepped, you follow it, with the occasional detour based on your whim."
Although I've realized that it's very hard to get players OUT of the "Follow the DM" mindset, into a pro-active "Follow the player's goals" mindset.
2) Look at what your player is trying to do with his character's abilities, and work with that. I created a rogue, whose schtick was moving and bouncing and maneuvering around. What was the first encounter? "You're on a small raft in the middle of the water, and you're attacked by gators." All of the fights, except the very last, were in tight confines, or areas where you just couldn't maneuver around at all.
3) Don't badmouth and/or say "What you will do". This I learned vicariously; I allowed a player to DM. That player would say things like "I don't like all this combat, and little out-of-combat stuff" and "My encounters will be lively and full of Objectives". What does he do, when in the DM seat? Uninteresting dungeon crawl. The only objective "Smoosh these eggs before minions hatch out of them" which was far more tedious than fun.