Oh, I forgot to mention; don't be too quick with the outline. Its boring, but outlines are CRITICAL. It lets you know where everything is going to be, allowing you to get things perfect without having to un-do hours of work shading and drawing. Not using one also makes it very difficult to fill up the sheet of paper or to have things framed the way you want. I usually spend a few hours doing an outline before I start anything. I can't stress how critical it is. I know it is the most boring part of it all, but it is the most important step in having things come out right.
Also remember with shading; a line is a separation between a lighter area and a darker area. One side of the line is ALWAYS darker than the other, even if only for a slight moment. (And one side is always lighter...).
Contrast is also critical. It can be used to make things feel softer (take one in my gallery; Saturday with Kate. I only got as dark as 5B), but for the most part you want a spectrum that goes from pure white to pure black.
If you have trouble getting blacks as dark as you really want (when 9B isn't enough), I know a few tricks, but they make for a bit more work.
Oh, and I can't believe it took me this long to remember; the direction of your stroke is CRITICAL at ALL times. Even if you are just blocking in an area, it is always critical that you go the right direction. When you go over something that is a bump, your strokes need to curve with it, other wise it looses it shape a bit and begins to look a little dead. Your pencil will automatically create these directional lines no matter what you do, so it's best to use them to your advantage. Take for example clothing, you always go the direction of the weave, and it needs to curve and change for ripples.
Out of curiosity, did you have something already in mind to draw?