Thus suggests Vertigo: NPC's that make characters laugh are remembered but not feared. If you want to make your players respect the villain, never make him a buffoon.
2.
Thus suggests Verrain: Never expect your players to do what you think they will do. Always be ready to wing it.
3.
Thus suggests Verrain: Remember that most games are designed around the concept of a party working together when making your character. Your GM will thank you.
4.
Thus suggests Verrain: Giving the enemy really powerful items to be challenge to the party results in the party obtaining really powerful items, so that the next villian must have even more powerful items which the party will get. Break this cycle early. One use items, aligned items, and creatures with innate powers will allow you to challenge the party in combat while letting the power level ramp up more gradually.
5.
Thus suggests Verrain: Throw in a light hearted scenario every couple of sessions. Even the greatest of heros needs a break from saving the world now and then.