If you watch the Attract Mode of most Dance Dance Revolution machines, they will eventually go into a tutorial on how to play the game, and in it, the demo character will stomp on an arrow, and then return its feet to the center. Check it out (it starts at about 0:58 in this clip):

And I see a lot of beginners playing the game like this... and stumbling around. Why? Because the arrows in the songs are set up so that you don't return your feet to center after hitting each one, which has the side effect of reducing the number of steps you have to take to hit all the arrows. Check out the kid's feet in this video:

If he returned his feet to the center after every time he hit an arrow, he wouldn't be quick enough to hit all the arrows, and neither would you.

So don't do it!

This one's a little more advanced, but nontheless very important if you want to be any good at the Street Fighter games.

The idea is to do one move, and before the animation completes, you do another move for Big Damage(tm). The easiest way to show this is with Ken. You want to lead off with a Strong Punch, then immediately press Forward, Down, Down-Forward + Strong Punch. If you do it fast enough (and it does take quick fingers) then you'll hit once with the punch, and then three times with your Dragon Punch for a four-hit combo!

Which is kind of tough to see in static picture form, so I've made an animated .gif you can check out here(2.3 MB, watch out, dial-up users!).

There are lots of moves that can be canceled like this, way too many to list here, so have fun finding them!

Oh, and this also works for Street Fighter IV.