Shields/Armor/Structure. They're what keep you alive. Deep Space is cold and lacks the amenities of the average spa or cafe/bar. So the canny capsuleer does all s/he can to fly through it, not in it.
[These notes are meant for the PvE field, -- in PvP, if you're a n00b, you have to face the fact that you'll be blown away, and probably podded too :: it's what PvPers do, and it's what I gather that a sub-class of them live for :: killing n00bs asap, because they aren't allowed to taunt n00bs anymore in the starter systems]
Shields are your active defence: they are the first thing that gets hit usually (unless your opponent is using something that cuts through them), and they regenerate slowly. You can boost regeneration, either by repairing them by converting cap power, or with a passive unit that raises the regen rate. They also have the peculiarity that they regenerate best when they're halfway down -- high shield and you only get a trickle back, low shield and unless you're already getting o-u-t they're, frankly, not going to survive.
Which means that one tactic is to let your shields drop to around 50% and save the cap, and then just use the shield repper to keep them in the 50-70% range. Other people argue that, if you have the cap to rep, you should use it because, as you know, cap also recharges (and can be boosted if you go that way) .
When your shields are gone, it's your armor that takes the punishment. You can buy thicker armor, you can fit an armor repper, but it's going to go and, short of repping it, it won't come back. That said, it's tough stuff (and if you don't mind having the manoeuvering of a hippo in a bath chair, you can fit as thick as you can take within reason). Some people rely on tanking armor. To them shields are the freebie throwaway you get anyway, and armor is what it is really about. They have a point (one point) in that, if they can avoid a round of damage by some means, their shields will regenerate a point or two, and any hostile attack has to grind that away before it can get to their armor again. Armor repping is a straight n units per cycle thing -- no advantage here, then, in letting damage mount up, and my preference is to start the rep cycle when shields are at 2% and switch the shield repper off till I'm sure I can tank the armor damage.
After armor, all you have left is structure. You don't want damage to that -- there are hull reppers, but frankly they're meant for using at a station to save on repair bills. I recommend that as soon as you get into structure, if not before, you warp the hell out. Even if there's only one enemy left and he's also in structure.
Why ? Because you might miss him, and he might critical you, and because the pirate who's been lurking 100km off, waiting to loot your wrecks is also just waiting for you to finish, so that he can kill off the winner and get that wreck as well.
Jump out, get repped, and come back, in another ship if you're in a hurry.
Especially if you have a heavier ship on stand-by. There's nothing like the feeling you get when you've flown a mission in a destroyer, got away in the nick of time, and are then able to go back in a cruiser, knowing what's there, and ready to blow chunks off your NME.
Speed -- which they're about to nerf: basically you go so fast that the missiles can't catch you, or so that you get out of range of your enemies' guns, whilst staying in range with yours. or (Minmatar secret here) you get close in, and orbit very very fast, so that their turrets can't track where you are. You also get cross eyed and somewhat dizzy unless you break off every now and again.
Speed #2 -- Go in, stay as long as you can, and then warp out. To speed up the "warp out" phase, you can align to an object (stargate or station) first, while you're still fighting, and then you go to warp nearly straight away. This tactic also requires that you're ready for a quick turnround, otherwise the rats will have regenerated all their damage. But even so, you know what you're facing and you can make Plans.
Priorities -- There'll come a day when you suddenly find you're flying in treacle, with a wibbly effect round your ship. Welcome to the world of webbers. One of your enemy ships is using a device to slow you down. Unless you like being the number-one target for every ship in range (and the ones coming into range at top speed), make that ship your priority.
Similarly work out whether you want to attack Big Ships, who will be capable of doing more damage to you, ahead of the fast and nimble frigates who will swarm you and be more capable of keeping up if you run. Either way, pick a target and concentrate on it. Till a ship's blown away it can still fire on you, even if it's at 2% structure. And if you use drones, make sure they follow your priorities: mine have a habit of sneaking off to shoot ships they fancy, rather than concentrating on the ones I want dead.
I've probably said things you don't agree with in this, and if you survive and I don't, you're probably right. But two cents is two cents, and buys two penny chews, so there you have it. Or them. Or not.
Edited 27-4-09 for mis-spellings (but there are probably some left)