If you're using train tickets in Italy, stamp your ticket in the yellow metal box in the train station before you board, or you could be fined. Always check the current electronic board, especially in large train stations like Milan. What Rick doesn't mention is if you don't know how to say 100.000 lira in Italian, the Italian word for the bill is printed right on the bill. I agree with Rick that first-class train travel is the way to go in Italy. In second class, the floors are often filthy and the seats are stained from beverage spills.
Buses have entry doors and exit doors, but the locals use whichever door is closest.
Still, walking is the best way to actually see a place. The Runners-Up John's posting was one of many brilliant Back Door travel tips in October. One night my roommate and I went out to dinner with some Spanish friends. I quickly said no yet added that I would be interested in trying some. Not only did it taste much better than I thought it would, but our native friends were proud we gave their dish a try.