'F9' is your friend. You have unlimited quick saves that you should use before and after every tough fight.
'k' is also your friend. It lets you configure the hot keys. The default hot keys are not optimal and don't let you select all of your disciplines.
Putting a couple points in Finance is good to guarantee that money will never stop you.
Inspection is only good if you have never played the game before. So when you play the first time, Playing Malkavian guarantees you won't miss much.
Don't hesitate to sell off items that you don't have a use for. For Instance, if you have the Pearl of Dubai, and you're a Noseferatu, sell it because the Pearl has no effect.
Humanity points are generally harder to gain and easier to lose than Masquerade points. If you kill a bad guy whilst he's running away, you lose a point of humanity. However, you can gain humanity points by dancing for about 8 minutes at either bar in Santa Monica or Downtown.
When fighting a lot of bad guys, be sure to leave one alive at the end to feed on and replenish your health. Conversely, you can feed on a bad guy and use him as a body shield for bullets.
IF you try to run and gun through this game, you'll get creamed many times over. You have to use your disciplines while shooting or fencing with swords. Backing up and shooting is often a viable option to standing and getting killed.
Make sure your guns are fully loaded before buying ammo. You'll be able to full max your ammo load.