Some months ago Felix Salmon wrote his excellent article with a cost-benefit analysis of getting an advanced degree in the humanities. This inspired me to summarize my own thoughts. I am not a graduate student in the humanities, but rather a medical student, and I just finished my first year. However, I did have a "real" job for 13 years before I went back to school. With that knowledge, weight my advice accordingly. I find that a lot of the same blind spots suffered by Salmon's hypothetical humanities student also afflict my younger classmates. However, I think there are several ways that students entering and studying in graduate programs, professional or otherwise, can avoid doing themselves a disservice.
1) Be sure to consider the economic future of your profession and your financial goals. You are not too good to worry about the mundane laws of supply and demand. They surely apply to you just as well as they apply to your mechanic. There's a difference between chasing dollars for their own sake, and being able to afford an apartment in a middle class neighborhood without a roommate when you're 49. You're choosing your lifestyle now, and you won't always be in your twenties or thirties. Think about that carefully.
2) Don't overspecialize or commit to an academia-only field. That ensures a lack of career options and mobility. Lack of control over your schedule and work location is one of the top factors damaging to happiness. Also, consider economics again. You're not special. Academia is not special. Do yourself a favor and free yourself of this bias.
3) Make sure to have frequent contact with people not in your program or university. Better living through induction! Talking face-to-face to people in bars or coffeehouses in other parts of town, and friends of parents, and people in any non-university-related social group - especially happy people - is absolutely invaluable. Get out into the great outdoors. Try something new that you're not good at. Don't be one of those people who lives for years in an interesting town or region of your country for years and barely leaves the academic ghetto. (I can't tell you how many Berkeley grads I know who have no idea about the amazing parks less than five miles from their doorsteps.) Having friends and activities in different social circles is another proven way to de-stress. The politics in your department and obstacles that you thought were all-important will suddenly seem really temporary and trivial, and you may just have an epiphany about what it is you're really trying to accomplish, in your project or your life.
4) Don't buy into the twenty-something myth that if you have interests outside of work and/or are usually happy, you aren't "serious about your career". This is just as true for twenty-somethings outside of grad school.
5) Don't go to grad school just to avoid the post-college depression. If you're on a career track that doesn't require a graduate degree, congratulations. Don't get one. When at age 23 you're suddenly for the first time not surrounded by age peers with whom you can socialize effortlessly, it's normal to get a little depressed. In fact I'm surprised "post-college depression" isn't a well-known institution of our culture by now. In 2010 it's probably a softer landing than it was in 1996 because technology makes it easier to stay in touch and meet people who share your interests, but it's still there. Be honest with yourself about your motives, and don't go back to college to be around other young people - you can do that for free.