This is mostly a collection of pointers to other people's advice which I have found useful (or would have found useful). Perhaps with time, I'll expand it with my own insights and opinions.

Having an Effective and Enjoyable Graduate Experience:

So Long, and Thanks for the Ph.D! Ronald Azuma's "what I wish I knew when I started graduate school." How to Be a Good Graduate Student/Advisor by Marie desJardins.

Research, Writing, and Dissertations:

Know the difference between a "thesis" and a "dissertation"? Olin Shivers does. Here's Olin on Writing a Dissertation. Read "The Elements of Style", the classic book on writing by Strunk and White (as short as it is good). Advice on Research and Writing collected by Mark Leone. Oral Presentation Advice from Mark Hill.

Academic Job Searches:

Getting an academic job by Michael Ernst. Tips on the Interview Process by Jeannette Wing. Steve Lumetta's Academic Job Resource Page. Read Tomorrow's Professor Preparing For Academic Careers in Science and Engineering by Richard Reis. It will help you: 1) decide whether you want an academic job, 2) get one, and 3) keep one.