I've been a couple times. Here's what I can share.
1. Scout around for other food options. At all large gatherings, GenCon included, the hosting building does everything it can to bend you over on the price of food. It's like buying every meal at the concession stand of a movie theatre. Check around the area. Most of the time, there'll be a fast-food place or even a nicer restaraunt that is still cheaper than the hall vendors.
2. Try to get a little bit of everything. Think of it as a buffet. You may be really into CCGs, but try a miniatures game. Like most of us here, you're probably really into d20, but try at least one other game. Take in a seminar or two as well. You can get a good perspective on a game by talking with the people who make them.
3. Like everybody else has said, don't buy anything on your first trip through the dealer room. Just don't. Also be sure to go back to the dealer room on the morning of the last day. As said above, the dealers are looking to "deal" then.
4. Hold on to your badge as if your life depended on it. You paid $55 for it once. Do you want to do it again? If you lose your badge, you might as well hold a thumb-wrestling tournament on the street-corner--it's the only event you'll be getting in to.
5. Don't bring any gaming materials from home, exept for the following: backpack (mostly empty), dice, pencils, a tablet of paper. Any games you play in will provide pretty much all of the other material's you'll need. And don't worry, you'll find plenty of stuff to fill that backpack up with every day. By the end of the weekend, it'll feel like you've been carrying your heaviest friend around on your back for a month. No sense in starting off heavy by bringing a bunch of books from home.
6. Bring some Advil, Tums, etc. from home. Same reasons as in number 1.
7. The midwest is hot in the summer. Please remember to bathe. Encourage your travelling companions to do the same. This is not a personal insult to you (I don't even know you), but after a little while, you'll discover more than one person at GenCon will have chosen to ignore this advice. I know it sounds awful to say it, but it's true.
8. Comfortable footwear is a must. You'll be walking a great deal. If you're having trouble after the first day, Dr. Scholl's makes a good insole for people who are on their feet all day at work.
9. Cash management is tricky. It's never adviseable to carry large amounts of cash, but the ATMs you'll find in the hall will likely have a large service charge (see #1). Try to pay with a credit card or debit card whenever you can. Every year, the dealer's room grows more plastic-friendly, but some still do it the old-fashioned way.
10. If you're going with friends, have a designated meeting spot and strict times on when to be there. There are about a bazillion people at GenCon and gamers all tend to look alike in large numbers (again, it sounds strange, but wait 'til you're there). If you want to have lunch/supper/second-breakfast with your buddies, it's the only way you'll ever find them.
Hope this helps.