Yourself Insane - As bizarre as it sounds, you can occasionally win the game after you've gone insane. This occurs if your number of points of completed adventures exceeds your opponent's adventure points plus his Sanity. Usually, even when you get the opportunity it's hard to pull off. Giant Albino Penguins can reduce your Sanity really quickly. When you're sitting at 8 Sanity, but will win if you go insane, you can put down a two Sanity Penguin, and then take it in the teeth when your opponent reveals the Shoggoth he mistakenly pointed at you.
Penguins are the perfect harmless critter.
They even make great pets. If you want to really thump an opponent, Join a Penguin with a big Monster, and then point the big Monster at the opponent you want to thump, and the Penguin at some other rube. Your victim will probably defend appropriately for a 3 or 4 point Monster, and you'll be able to sneak a few, hopefully critical, points of damage through. This tactic is especially useful with the Gnoph-Keh and the Martin's Beach Monster, since they also get rid of Allies. My Gnoph-Keh example, above, actually took advantage of this strategy as well.