Another thing I highly recommend is to customize your Mech. This game allows complete customization of any Mech in the game. You will find that the default configurations tend to be slow and generate way too much heat. With a little experementation and close reading of the weapon specs you will find that you can design faster Mechs that generate little heat. Oh, and always try to put jump jets on your Mech.
Jets are great for dodging missiles and greatly increasing maneuverability.
Perhaps the most exciting part about the game is that which I haven't had a chance to experience. That is, the game supports modem and up to eight player network play. This has the potential to be a real blast, especially if Activision develops some sort of mission editor. Mechwarrior currently only comes with a demo version of the multiplayer game, however, you can download the full version for free early this Fall. I am hoping that this will change in the full version.