Changes take place immediately (well, they are recorded at shutdown, but they go into action immediately). A single misstep could cause severe or fatal problems with Windows.
There is no Recycle Bin -- once a key or value is gone, it's gone.
You may not know until you restart your computer that you've made a fatal error.
Put backups in dated folders, as per ERUNT.
Never double-click a *.reg file unless you really mean to merge it with the registry (better yet, change the options for the *.reg extension).
