Don't just learn how to say "thank you" in the local language, "you're welcome" also goes a long way
Train travel is slow and outdated - you're better off going with a group trip if you want to be sure to see a lot in a small amount of time or just hop on the bus!
When I visit Mexico I always eat lunch in the mercado publicos for a truly local experience.
Don't be afraid to get lost! Those are the times when you find the best stuff.
Always study some basic phrases of the language spoken in the country you're visiting that will help get you by and converse with the locals.
Have a mind open to living the experience in its entirety. Go beyond the surface in getting to know your travel destination.
When I visit...
...a foreign country, I always at least learn to say "Sorry, I don't speak (the language), do you speak english?"
see below for examples...
Make friends with the staff on a cruise ship. They will make the days at shore that much more fun.
Do not store your brand new tennis shoes below the bus in Costa Rica
Do not travel through the Paris red light district at night with your bags, unless you are lucky enough to have a Parisian taxi friend.