Here are a few:

1. Hold down the command key and click on a layer in the layers palette to make a selection based on that layer's transparency (that's on a Mac - not sure what the Windows key command is)

2. If you want to reduce the opacity of a layer that's using a non-"normal" blending mode (e.g. Multiply, Color Dodge, etc) changing the Fill percentage in the layers palette often gives better-looking results than changing the Opacity percentage.

3. Use vector shapes and layer styles whenever possible - then when you need to edit the size or shape of an element you can scale without things getting pixellated, and the styling (drop shadows, glows, etc) will automatically scale or reshape as well.