Here's a cool explanatory slideshow about do's and don'ts while exercising.
Most of these have to do with lifting weights and weight machines.
It's amazing what all you see in a gym (many of the don'ts).
And yes, I've done a few of the don'ts myself.
I'd suggest working out with a trainer, if only for a brief period, so s/he can instruct you in proper form. Otherwise, you could get injured.