Keep track of what you spend! 
I know this sounds pathetically simple, but there's more to it.  I mean keep track of every penny you spend.  If you buy a pack of gum, log it!  You can use a spread sheet, like Excel, and make categories (food, phone, rent, clothing, gifts)...  You can make it as specific as you like -- for example, instead of just "food" how about groceries, fast food and restaurants.  The key is to stick all receipts for the day in your pocket and enter them into the computer each night.

You certainly don't have to do this all the time...  But, I'm telling you, if you do this for just a couple of months, it will change your spending habits (the bad ones).  You will, literally, stand in a store and think, "Dang, if I buy this DVD (that I don't need), I'm going to have to enter it into my stupid spreadsheet!" 

"Buy and hold" goes for cars too! 
You know those people who get a new car every year or two?  Well, chances are very good that they are just one paycheck away from losing everything.  Cars depreciate, so the second you buy them, you are losing money.  The only way to get your money's worth out of this expense is to keep the car for several years.  If you buy smart (do your research),  you can buy a good car that will remain reliable for years.  And, remember, always buy used!  Let someone else eat that big initial depreciation when they drive that brand new car off the lot.

Be a smart shopper! 
With the Internet at our disposal, there's no excuse to pay more than you need to or to buy a bad product.  ALWAYS investigate big purchases!  Cars, electronics, even little things like music and movies...  Do research and buy the best that you can afford.  For things like car stereos, it's better to pay more and get a better quality item.  It will sound better and last longer.  For cars, you can check out sites like Kelley Blue Book and Auto Trader to check on prices and sites like Consumer Reports and Edmunds for quality and reliability.  For electronics, you can check out customer reviews on sites like Circuit City.

Buy real estate! 
Buy a house or condo as soon as you can.  Why?  Because very few things appreciate (go up in value) like real estate does.  You can buy a house for $200,000 and just 5 years later, it could be worth $300,000.  Heck, in some areas, values have gone up over $150,000 in the last 18 months!  Also, you get to deduct the interest on your mortgage from your taxes.  Let's say you make $50,000 a year and you paid $6,000 for the year in interest on your mortgage loan...  You get to subtract that and you'll really just have to pay taxes on $44,000.

Delay gratification! 
Remember that "want" and "need" are two very different things.  You have a long life ahead of you and you don't need everything right now...  You just want everything right now.  Be patient.  Plan.  Invest.  The end rewards will be worth the wait. 

Don't buy the Mercedes (and make payments) when you should by the Toyota and invest the rest.  Other than a house and a reasonable car, if you have to finance it or put it on a credit card, you don't deserve to have it yet.  (Other than emergencies, of course, or investments in your future, like a computer for a new business.)

Don't have credit card debt!!
And, if you do, pay it off before you start to save money.  If you are paying 19% on your credit cards and putting money away in a savings account that makes 2%, you are still losing 17%.