Get to know the laws of filmming in your city. I've heard (from people on this forum) that Los Angeles can be quite unfriendly to us tiny-budget filmmakers (not just the laws but the general behavior of your neighbors). My home city of Seattle, by contrast, is very friendly. For example, if your cast/crew is five people or less, you need no permit to film on public streets and sidewalks. Also, if you're shooting DSLR and using lavs, most people just assume you're taking photos and you can totally pass for a tourist.
Get to know copyright laws. For example, everyone thinks you have to get permission to show the logo of a product like, Idunno, Coca-Cola. Not true. The danger is if you misrepresent their product in any way then you're opening yourself up to the possibility of lawsuit for libel and or slander. But if you just show someone enjoying an ice-cold Coca-Cola, there's no law against that and they'd have no reason to sue you.
That being said, it's surprisingly easy to get permission for product placement. It's much easier to just ask for permission than to worry about showing a logo in the wrong way.
Expect the unexpected and relish it. There's three versions of every film ever made - the one that's written, the one that's shot and the one that's edited, and each of them is different. My favorite part of production is being surprised.