Gag your microphone - If you know you're going to be shooting in a windy place get a wind gag for your mike. Keep your camera close to you, make sure its insured and know its serial number if it does get pinched. You can only capture an event on tape once. The great thing about tape is that you can record over stuff but be careful you may need footage again in the future. Bear in mind that batteries have a shorter lifespan in the cold.
Tape is cheap.
When you get around to editing you might just need a certain shot, so shoot everything. It takes some practice but it allows you to see what's going on in the viewfinder as well as around you. You want to try and avoid pot plants sprouting from peoples heads etc. Especially steer clear of backdrops where there's visually exciting stuff going on - a videogame running in the background as you can guarantee that your audience will end of paying more attention to this than what the person is saying or doing. There's a classic clip I've seen where two policemen are talking about what a quiet night it had been with no arrests.