Strategy Tips
In the land of the blind, the one-eyed is king (Go Proverb)

Opening
Usually, one begins a game of go by staking out territory on a large scale, tightening up the connections as the opponent approaches. The important thing is to find the right balance between size and solidity. Building up a very large framework may invite the opponent to set up shop inside, whereas playing too solidly will give away too much.
Two Eyes
Anyone who played a couiple of games will notice that even large groups of stones do get captured. So how can one tell whether a group can be captured, and when it becomes uncapturable (i.e. "alive")?

The trick is to look for "eyes". In the diagram, the spots marked X are eyes. White would need to play in both places at once to capture the group, which isn't possible since one playes only one stone at a time. The suicide rules prevents white from placing a stone on just one of the marked spots.

Groups with two eyes, or groups that can form two eyes are strong. Strong groups are a Good Thing!
Watch out for false eyes. All parts of the group forming the eye must be connected somehow. In the little diagram below, white can play X, capturing three stones and reducing the black group to one eye.
Seki
In the diagram, neither white nor black will want to play on the marked spots (Why?).
This stallmate is called "seki", and is left as is on the board until the end of the game. No points are awarded for the marked spots, since they don't belong to anyone.
Ko Fights
White just captured a black stone at X on the diagram and threatens to connect by playing there himself, thereby capturing the three black stones above. What must black do?
Black must play a "ko threat", for example on the lower right edge.
If white responds, then black can retake the ko, and white must find a ko threat.
If white connects the ko, black can execute the threat and gain some compensation for the loss.
Endgame

Once all groups are settled, there remain only a couple of gaps in the borders between territories. This is the endgame ("yose"), and it is important to locate moves which require an answer ("sente" moves), since this will allow you to play into some other gap after that.
In the diagram left, there are two moves left. Which one should white play?
White should play the one to the right. This move threatens to penetrate further into black's territory, so black must answer or suffer a large loss. White then gets to play the other move.

Don't go on a hunt when your house is burning!