There are so many different techniques of varying complexity out there it's almost impossible to single anything out, but I think Joseph is right that washes and filters will be among the first techniques you'll want to learn.
I think I would say the three most important things to consider are this:
1) Experiment with different techniques and different combinations of techniques until you find the ones that work for YOU. Everyone has different styles, so there is no one-size-fits-all approach to weathering.
2) There are thousands of tutorials on the internet and in books and magazines. Do loss of research, experiment with new things and don't be afraid of the error part of trial and error.
3) As a general rule, unless you are representing a totally derelict hulk (which requires true weathering mastery IMHO), less is more. It's way too easy to over-do it, and I think that is a about the biggest contributor to an unsuccessful weathering job. If you think you just need to add a few more chips and scratches here and there, you've probably already got too many.
4) Because nobody expects the Spanish inquisition!) Practice, practice, practice.