-- Cut the nozzle as small as you need but as large as you can get away with; a small bead is harder to squeeze out of the tube than a larger one.
-- Make sure the surface is clean and sound.
-- Stuff deep and wide cracks with oakum or fiberglass, or foam backer rods. It is discouraging to see $4 worth of caulking disappear into a bottomless crack.
-- Warm the tube of caulking to at least room temperature before using.
-- Pushing forward with the caulking gun helps to force compound into small cracks and stick better to smooth surfaces. This is my preferred technique.
-- Pulling the caulking gun backwards makes it easier to see what you're doing, and leaves a surplus bulge which allows for shrinkage without pulling away from either side. A good technique for large cracks.
-- Some caulkings may not be stored once opened. Check the instructions and find some more cracks to fill.
-- Place a long, tight-fitting nail or screw into the nozzle if you want to use the tube later. The last little bit will always dry up even if you wrap the end in aluminum foil but the nail will keep a channel open to the fresh compound. Some people screw electrical connector caps on the end of the tube.
-- Learn to squeeze the gun with each hand to avoid cramps in a big job.
-- Keep the folded rivet tabs on cheap guns snugly in place -- slack here is why the ratchet quits working.
-- You will find it much easier to work with a gun that does not move in click-click increments, but one which allows you to let up and squeeze on the handle at any time. This allows you to adjust the squeeze to fit your hand and not the other way around.