1. There is no such thing as a Combat Character.
2. Act in haste, repent at leisure.
3. Don't be afraid to run away.
4. Always have a plan.
5. Not everyone is a bad guy.
6. Knowledge is power.
7. Follow every lead.
8. Be patient.
9. Know when to break a commandment.
 

There is no such thing as a Combat Character

Combat in Call of Cthulhu is much like real life. It's easy to get hurt quickly, and a bullet will stop even the hardiest character. While you might have characters capable of mowing down row after row of low-level bad guys in other games, in Call of Cthulhu (like real life) you really can't take on more than one or two without going down. Especially if the low-level bad guys happen to be Byakhee.
 
 

Act in haste, repent at leisure*

"Enormous grief stems from the crime of acting before thinking. In one case a team discovered that an enormous clay tablet was associated with a particularly obnoxious form of Nyarlathotep. Suddenly confronted with a hissing swarm of supernatural locust, they instinctively reacted by shattering the plaque. Alas, the plaque actually contained the chant for dismissing the aforementioned locust, and shattering it eliminated all hope. The entire team was killed or hospitalized, and the manifestation continues to this day. Anyone knowing of a 12th Century Dynasty spell for the Dismissal of Pests is invited to contact Dr. Rasegg c/o Dept. of Oriental Antiquities at Miskatonic University."*

 Similar things tales could be told about the party that broke in to the house of the misanthropic NPC. This alone wouldn't be a bad thing, but they did irreparable damage to the house and thus alienated the potential ally who had the information they needed.

 Or the party that shot the proto-shoggoth in the filter at the end of the exhaust pipe of the gas-powered generator in the secret cave, thus cutting off their only supply of fresh air.

 What else can I say? Think hard before doing something you can't undo. Which leads to:
 
 

Don't be afraid to run away

Sure, running from danger might mean losing your only chance to stop the Big Bad Guys (TM), but then again, it might not. Facing a bad situation without a plan or preparation, on the other hand, is a sure recipe for disaster. Better to live to fight another day (with a better idea of what you face) than to die in vain. This is closely related to:
 
 

Always have a plan*

"Even a bad plan is better than no plan at all. While a bad plan may get everyone killed or turned insane, the lack of a plan always will. In contrast, Cthulhu monsters usually operate with very clear goals.

 "In one sad case, a group of scholars created a dimensional gate to a hideous alien reality. One of the scholars entered the gate without any plan for return. Presumably, he's there yet. His friends wish him luck, and occasionally send sandwiches and beer through, hoping they reach him. Somehow."*

 Closely related to this is the importance of a backup plan. Have an idea of what to do if the character with the dynamite disappears. Know what to do if you get separated, and under what conditions the mission is to be aborted.
 
 

Not everyone is a bad guy

Chaosium's `10 Commandments to Cthulhu Hunting' lists "Keep it Secret" as their first commandment. I beg to differ. The secret nature of the Mythos, the apparent ubiquity of deranged cultists, and the obliviousness of the general populace tends to lead to a certain paranoia on the part of the players. They, and only they (it seems) are humanity's only hope.

In truth, however, they are not alone: a few others know of the danger that menaces humanity and will help if approached properly. Chaosium may be right when they warn not to blab dangerous secrets too freely, but too much secretiveness can close vital doors. Allies are your second-most important weapon.
 
 

Knowledge is power

Your most important weapon, on the other hand, is knowledge. It really is the only power you have-- I can't stress this enough. This not only includes knowledge of the musty-old-book type, but information of tactical importance. While it will probably help to understand the Cthulhu Mythos in general, and while it will certainly help to have studied the book that contains the spell you need, it will also help to have scouted out the clearing where the bloody ritual is being held each month.

 A longer example: If you're going to break into the house of an Important Person, see if the blueprints are on file somewhere. Case the place for a few days to get an idea of common comings and goings. Make friends with a few of the servants: the men would probably appreciate a pint or two down at the local pub, while the women may have been known to loosen their tongues to an attractive suitor. See if the Important Person has been in the society columns the past few years, or what's on file about their business connections. Pose as a potential business contact to get a meeting with them, or wrangle an invitation to the Charity Ball they're throwing at their estate. Hell, research their family--never know what you'll find there. Any of these things are better than going in cold, especially when the penalty for failure is likely to be higher than a jail term.
 
 

Follow every lead

In Call of Cthulhu, information (which is power, remember) often has only one source. I will freely admit that this is a flaw with the setting, but it is one that can be overcome through persistence. Very often a name which is mentioned in passing belongs to the person that has the essential clue. If an important event happened in the past, track down and interview the witnesses. (Even the insane ones.) If the ultra-old tome of archaic lore mentions a certain city, spend a day or two trying to track it down in the library.

Be patient

Monthly rituals happen only once a month. If there seems to be no activity the night you happen to stake out the site of the Ancient Sacrificial Altar, come back the next. And if you happen to stumble across the ghastly horrible sanity-blowing ritual before you're prepared to deal with the 100 fanatic cultists and their sadistic leader, you might want to consider coming back the next month.

 You'll know when you've got a deadline.
 
 

Know when to break a commandment

These are really only guidelines, and as such will be valid 90% of the time. Don't get caught with your pants down because you followed these rules too closely.
 

(*: Taken from Chaosium's 10 Commandments of Cthulhu Hunting.)