Ever since I've started listening to the Security Now podcast, I've grown a lot more security- and privacy- conscious (which is a good thing). From the podcast, I've learnt that one of the easiest thing you can do to protect yourself on the Internet is to disable cookies by default, and allow only those from domains that you trust to be stored on your computer.
Being a Firefox user, I disabled cookies by default and set up an exception list to allow only hosts that I trust. Over time, this list has grown quite a bit. For whatever reason if I lose this list (either through an upgrade or a different computer), it can be quite inconvenient to redo the list again. Fortunately, I've found a way to back up the list.