First off, go to the View menu and select both the 'Status Bar' and 'Text Size' items. The status bar is at the bottom of each page, and will help you see what type of link you're clicking on, usually with a description of what type of action, if any, the window will take.
The text size of the page you are reading can always be enlarged from the keyboard (Command-Plus and Command-Minus; covered in more detail here) but it's always a nice option to have in the Safari toolbar.

Next, choose 'Preferences' from the Safari menu and select 'Tabbed Browsing.' Check the box needed to enable tabbed browsing. You may wish to use Panther's Keyboard & Mouse Preference Pane to modify the keyboard shortcuts for the Next Tab and Previous Tab commands to something more convenient than the default Command-Shift Right Arrow/Left Arrow.
While in the Safari Prefs, you should also set the home page to nothing, or something of your choosing, and make a new folder somewhere on your hard drive that will be designated for all of your Internet downloads.

Did you know you can restart downloads that have timed out or had been cancelled? Clicking the small orange circular arrow will let you restart a download, provided it wasn't a time-exclusive deal, a la allofmp3.com.

Option-clicking on an item in Safari's Downloads window will toggle between three views, the regular view being an estimate of time remaining, another showing the download speed, and

If you know the direct link to a file on the web, you can copy it to the clipboard, click on the Download window once, and paste (keyboard shortcut: Command-V) the download's URL. It will begin to download to your default downloads folder. Clicking on an item in the Downloads window will let you glean the URL from it by copying it with the keyboard shortcut Command-C.

If you miss viewing PDFs directly within your browser, the new Adobe Acrobat 7 Reader installs a plugin allowing Safari to do just that. It is worth mentioning, however, that there have been a few free/shareware utilities available for some time now to let you experience the same thing. It is arguable that Adobe's 'official' plugin will prove to be the better choice, and by adding a page browser sidebar, giving you the ablility to search inline PDFs and control zoom functions, they have shown that there is little reason to continue downloading PDFs and opening them with Preview.