1. In games where you don't lose ammo for reloading with a partially full magazine, always reload after every encounter, even if I only fired a single shot.
2. In older games (like Half-Life and Deus Ex), quick-save constantly. I'm fairly sure I was on save #500 or something by the time I completed Deus Ex. I was playing on 'realistic' setting, but I only died a handful of times, so it was probably unnecessary.
3. Save my poweful weapons (like rocket launchers and railguns or whatever) for only really powerful enemies, even when I have plenty of ammo for them. I'll usually just end up using the basic assault rifle or shotgun for most of a game.
4. Compulsively hoard items in RPGs, especially if I have some kind of house or something where I can store them all. My Megaton house in Fallout 3, my Lucky 38 suite in New Vegas and my Skingrad manor in Oblivion were all packed with weapons, armour and miscellanious items.
5. In games with friendly allies that both aren't invulnerable and yet aren't scripted to automatically die, I'll try and keep them alive for as long as possible. An example of this would be the UNSC marines in the Halo games.
6. In RTS games, I always like to take time when possible to build up my base in a way that looks nice rather than just randomly placing buildings around. This was best shown in games like Command & Conquer: Tiberian Sun, which had buildable walls and gates. I'd usually spend ages making massive bases with different sections and security checkpoints and stuff.