Here's a few that I find handy:
You can have the camera instantly zoom into the area under focus after taking the shot by setting up the Auto Review options to Review: Off, Zoom: 3 secs. The down side is you have to hit play if you want to see the whole scene. I like it since I can confirm focus instantly this way.
Another one is to turn off the Exposure meter in the Custom Menu. While it's cute a couple of times to see the exposure meter pop up when you change Aperture or Shutter speed, it gets annoying real quick so I've turned it off.
Set up your AF/AE lock button to lock focus (AF) and to hold that focus so you can release the button and retain hold by setting AF/AE Lock Hold to on. Not quite the same behavior as you can get with Canon or Nikon by assigning auto focus to the AF button and decoupling the shutter but it's close. Also, once in this mode you can focus on some object at a specific distance and then use the camera as if you had set the distance on a manual focus lens and just fire away as needed.
If you want a brighter display set up the LCD Mode in the Setup to the little [*] icon. I think it consumes a bit more power but the display definitely brightens up over the default.
Set your function button to show grid lines as a quick way to toggle them off and on.
Assign one of your custom function settings C1 or C2 to be used for manual focusing by setting your usual settings and turning on Direct AF Area so you can simply scroll the focus point around without having to do the left/down button presses when you are not in this mode.
Oh, and one more. Not a setting but if you want a really cheap and nice hand strap pick up one for the Nintendo Wii for a buck. Here's the link:
http://store.nintendo.com/webapp/wcs/stores/servlet/ProductDisplay?productId=117709&storeId=10001