Well, I totally spaced over the weekend and didn't give you your articles either on Saturday or Monday so I'm going to play catch up. This is a fairly simple tip, in truth. Is there's a canon behind your game? By canon, I mean a wider world that you can read about in player's companions or perhaps even your Game Master's weighty campaign guide (yes, some GM's will write up 200 page tomes). If you have one, read up on it. It'll help your roleplay if you like to get into your character's head space; it'll help you react sensibly and know which fun things to poke at if you like to explore; and it'll help you know what to expect of your enemies. Now, of course, I'm not suggesting you read the bestiary or other Enemy books but often there's hints and tidbits in the player's companions.
Obviously, in the World of Darkness this is incredibly important as joining the Invictus without any idea of being an Invictus, is likely to lead you bruised and raw from all the angry Invictus NPCs that you've been insulting. If you'd done some reading, you might've learned that you'd have more fun amongst the carefree Carthians.
However, it also helps in any other campaign. Golarion is a very richly detailed world in Pathfinder and while playing a Chelish freedom-loving abolitionist is certainly a fair and possible concept, it might be handy to know that your character would've had to work in secret.
Of course, there are, as always, a couple of exceptions. If your Storyteller wants to play a fledgling Embrace psychological and personal horror game, then not knowing what it means to be a vampire can only be a boon. On the other hand, if you're playing in the modern world in Call of Cthulhu or another horror again (say, World of Darkness) then you don't need to read any of the genre's fluff. Still, in both cases you can take a look at the real world canon. So long as you don't get haughty about background research in New York because you've read more than your Game Master, then your GM will be grateful to you.
Hmm, I just realised that I've never asked you guys for what tips you'd give other players. Any thoughts?