Stamina - Every step and action you take uses a little stamina. When you run out of stamina, it takes health instead. When you run out of health, you die. To keep this from happening, you either have to return to your hut to restore stamina, or carry food with you on longer trips. There are many kinds of stamina-restoring food, and you have to balance their weight and how much stamina they restore.
Overweight - That little yellow bar next to the inventory icon on the bottom right shows how overweight you are (you can also see how much you're carrying in your inventory). The bar will flash if you are overweight, which has a stamina penalty. The more overweight you are, the more stamina (or health) every action takes, and it can go down fast if you're heavily burdened. Returning to the Storehouse to drop off items will keep you from going overweight, or getting a bigger backpack (or more food to overcome the stamina penalty) well let you make longer trips.
Storehouse - Speaking of the storehouse, the left and right arrow buttons in the Move All section between your inventory and the storehouse provide fast ways to transfer everything in the current category to or from the storehouse. The category selecting buttons are on the left.
Hotkeys - In the inventory, you'll notice four buttons on the left after you have the pickaxe (1 to 4 for keyboard, unless you changed the controls). These are your hotkeys. Select an item in the inventory, then hit one of the four hotkeys to change that hotkey to that item, and then you can use that item at any time when the inventory is closed by hitting that key.
Equipment - When you are next to an enemy, hitting the action key will automatically attack them with the most powerful weapon. However, you can also select a weapon in your inventory to equip it. When equipped, hitting the action key at any time will use it. This is useful so you don't accidentally talk to NPCs or use structures while fighting boars, and also is a way to attack with a weapon that's not automatically chosen. It's also one of the only ways to fire the bow (the other way being using an arrow, often bound to a hotkey).
Critical Hits - If you hit an enemy from behind, you are guaranteed a critical hit. This doubles the damage, and can help you punch through heavily armored enemies that weaker weapons don't even hurt. If you're still getting the dreaded "blocked" message, that means the enemy is too strong for you, and you should either run or boost your attack with potions.
Potions - Not particularly a trick, but potions are pretty amazing, giving temporary or permanent boosts to your character. If you haven't figured out how to make potions, you might want to explore around and solve some side quests! Even without potions, Red Berries can be used to temporarily increase your attack power, but be warned that they hurt you when you eat them! You'll see how long you have to have a boosted attack power left at the top of the screen next to a sword (the same place where you can see how many steps left of torchlight you have).
Boat - You can load and unload your boat directly from the storehouse by clicking on storehouse button at the bottom of the inventory screen in the boat's manage cargo screen. You can load cargo into the warehouse in sunset haven in the same way. The mining elevator works similarly when it is at the surface.