I have a few, but one that popped up only last session with a new player is the idea a natural 20 and a natural 1 are never wasted. As one player put it, "This DM will let you crit tying your shoes". It's true, if you roll a 20, something above and beyond is going to happen, and if you roll a 1, something not so good is going to happen (or, sometimes, something humorous).
I have to say, there's been a few times someone rolled a 20 and did something so outstandingly it ended up a detriment to the party: for instance, when our psion issued so compelling a challenge to a dungeon's aberrant lord she not only drew him, but EVERY last monster the dungeon had to offer. That was intense hehe, but memorable, and they did actually survive.
If a PC rolls a 20 during initiative, he or she immediately goes to the top of the order, and a 1 sends them immediately to the bottom. Crit successes and fails are fair game with skills, as well, and have really helped in skill challenge type scenarios (I don't run skill challenges straight out of the book, but I do utilize successive rolls, say, 3 Diplomacy checks the first needing to be above 15, the second 20, and the third 25 type thing).