1) Never lend anything. Several folks have already said this but it bears repeating. Arrange trades if you can, give gifts if you can't, but anything you lend is gone forever. Above all, never lend money.
2) Putting forth your best effort is great, and really will help you in life. However, 3) your best effort does not necessarily make success likely. When people tell you to hang in there and everything will work out, they don't know anything of the sort, they are just trying to be helpful. The best example I can give of this is 4) women / romance is not for everyone. My interests are obscure, I suck at conversation, and my looks are average at best. This meant for five solid years I was turned down, put down, stood up, laughed at, lied to, lied about, and made into the butt of a number of extremely unfunny practical jokes. In all that time, despite my best effort, I never knew one single molecule of affection or companionship. I think 5) after establishing a five year record of absolute failure you're allowed to abandon any endeavor as a painful waste of time. This also taught me that 6) it's okay to fail, as long as you learn from it.
7) Advice is most often delivered by the people least qualified to give it. People generally aren't all that smart. Nevertheless they will offer you their opinion on anything at the drop of a hat. Case in point: when I explained to my coworkers why I don't try to meet women any more, two guys immediately said my choice was unacceptable. One of these guys has been locked in an abusive cycle of on-again-off-again with his psychotic semi-girlfriend for three years now. They can't stand each other. Everything sucks except the sex. He knows everything sucks except the sex, yet he keeps going back. The other guy who protested my decision was abandoned by his last girlfriend -- who seemed pretty, smart, and reasonably sane the one time I met her -- because he felt World of Warcraft was more important than she was. In other words, their own romantic lives are utter failures, but they think they can tell me how to run mine. What they don't get is I don't exactly feel good about being alone, but I no longer feel like I'm steadily being pounded into the ground by a pile driver of shame and humiliation. It took a while but I figured out 8) you don't need others to validate your life or choices. I consider that a step up.
9) Learn to recognize true friends. For example, people who you get drunk with are not your friends, they are drinking buddies. Quit drinking and watch what happens. That one guy who sticks with you despite not understanding your decision? He's worth taking a bullet for.