First, before I go, I do a lot of research. Guide books are great but I find magazine articles and podcasts to be even better. For listings of past articles on a place you can go to www.tripadvisor.com. Print them out and save them for reading on the plane. Then read them again after you have been in the place for a day or so and they make more sense. For podcasts you can check the archives of the major guidebook sites to see if the cover the location. Often they will have walking tours or point out some quirky angle of the locations identity. Lonely Planet and Frommer's have especially good archives.
I also have a few practical hints to make your experience better.
Always try to walk off the beaten path. Find a local neighborhood. Travel down a side street. While its really important to see the main sites, you won't see locals there so try to ask your hotel operator for the local bar or restaurant he recommends... I try to see one or two tourist sites in the morning and same in the afternoon with a neighborhood in the middle for lunch and hopefully one for dinner. Ask about markets. Try to take public transport. Start up a random conversation.Get a big digital card and take pictures of every little thing you see that is different from places you have been before. Those are the things you want to remember. They will enrich your memories and the task will remind you to keep your eyes focused on what makes each place more special. I'm talking about different ways to flush a toilet, great signs, public buses. And especially people if you can get up your nerve.
If you find a little trinket you think would be a good gift for someone at home, buy five. There is always another person you will want to give a gift to and you won't be able to go back quickly and get another. Even if it seems a bit pricey after a tough bargaining session chances are its going to seem cheap when you get home.
And Ladies... Visit a beauty salon. Not only do you get a little relaxing respite to sooth your weary traveling bones, but you often get a little insight into society too. In Mumbai, Indian women spend full days at the salon. I found a little place in an apartment building and when I swung open the door it was filled. I could have stayed there all day and people watched, not to mention how good the cheap facial felt and how much better my skin looked after being in the polluted streets. Also, in Dubai, watching a women go from nude in the locker room to completely covered in an abaya was a very memorable experience.
