Well there's the usual stuff like get onstage as much as possible, learn how to be funny not just how to write jokes, and other things you can hear people say on the "On Comedy" CDs (Seinfeld and Woody ones are great) or listening to CK interviews (the one on his new DVD is super).
Here's one I don't hear a lot: Learn how to listen. The audience is having a conversation with you. They're talking back to you. They're just not using words. So you have to gauge that energy and how they're feeling and if they're with you or not and steer the ship accordingly. I think a lot of new comics just spit stuff out at the crowd and they're surprised when they don't get something back. Slow down and have a conversation. Comedy, especially in small rooms, is more like harmonizing with the crowd. You have to hear what note they're singing back to you and then use your words and timing and inflection to get on their wavelength and vice versa. If shit ain't flying, turn conversational. Just tell the truth about that moment. Being in the moment and unfunny is way better than reciting a script and being unfunny.
That's kinda namby pamby. How about something more concrete? Try different stuff. When you're starting out, I think it can be healthy to try one liners, longer bits, characters, and other things. Exercise those different muscles. See what hits. What feels comfortable (and not). Sometimes stretching yourself will lead you to places that other people wouldn't go. That will make you more interesting than other comics. Most comics are boring. Don't be boring.
Oh, and go see good comics perform. I see a lot of new comics who only go to open mics and that's it. That's like trying to learn physics from a bunch of lab rats. Go see a master and you'll learn a ton you'd never learn on your own.
One final thing: I think comics are like magicians, but with words. There are too many out there just doing card tricks. Try to saw a woman in half.
Read the entire Q&A here.