Binding the <Esc> key to capslock has been really useful for me. http://vim.wikia.com/wiki/Map_caps_lock_to_escape_in_XWindow... explains how you can do this, although it's done externally and not in Vim. Just include the script in your shell rc file and you're good to go.
Experienced users can hide the menu and tool bars with:
set guioptions-=m "remove menu bar
set guioptions-=T "remove toolbar
Extra screen space for your code is always nice!
Another amazingly useful plugin is MiniBufExplorer (http://www.vim.org/scripts/script.php?script_id=159). This allows you to open multiple buffers in the same vim window, and with the key binds given in the plugin page you can switch between buffers just like you switch between tabs in Firefox. It's really useful when you follow tags in a large source directory.
And for people who can't seem to find just the right colour scheme: Color Scheme Pack plugin (http://www.vim.org/scripts/script.php?script_id=625). It has over a 100 different themes, nicely categorized.