1. Remember the occlusion shadow
Forgetting about the occlusion shadow is usually one of the most often made mistakes - that small area of very dark, very narrow shadow right below the object you're trying to place is an incredibly important piece of the puzzle. Without it, your object is very likely to be seen as floating. Remember to pay attention to the light direction, too - the occlusion shadow should follow the same rules as the rest of the shaded area.
2. Think of objects in 3D
Another common mistake is shading your object with one big brush, not recognizing any of the sides, planes and edges. Remember that every single thing is three-dimensional; your model is not a paper cut-out. If you're struggling with shading faces, Google "planes of the face" - it will help you understand where the are shadows most likely to fall. Whatever is the object that you're tryi