1. This is your time to talk about whatever is on your mind. If you want to talk about the footy over the weekend, that's fine. If you want to talk about work or issues at home or career progression, that's fine.
2. Sometimes there is not much to talk about - and that's fine too. If they do not have much to say on a particular day and I don't have much to say, it's a short meeting.
3. As said previously, try never to reschedule and never, never forget.
4. It's a really good time as a manager to practice listening. For that reason, I never have an agenda (i.e. things I want to say) at these meetings. Also, I try to contain the impulse to give advice unless they specifically ask for it.
5. I make it quite clear that as far as legally possible, I will maintain confidentiality. The only time that something may be relayed upward is if there is requirement for me to do so (e.g. an employee reporting harassment).