Make putty use UTF-8 by setting the following option:

-- Window
   -- Translation
      Received data assumed to be in which character set = UTF-8

Enable ssh agent forwarding to have your ssh private key used to authenticate you against further ssh connections made from within your first session. This is especially useful for scp and subversion (using svn+ssh://) and means that you do not need to store your private key anywhere other than your own desktop/laptop.

  Connection
  -- SSH
     -- Auth
        Allow agent forwarding = enabled
        Allow attempted changes of username = enabled 

The second setting there is useful if you use a different username on different hosts but still want to allow agent forwarding; though be aware of the security implications.

Putty's default colour scheme makes some text quite difficult to read. In particular the dark-blue-on-black is a great way to cause eye strain.

Found on http://www.igvita.com/2008/04/14/custom-putty-color-themes/, this theme offers a colour scheme that's slightly easier on the eye. Simply save this as a .reg file and import the session into putty. If you want all sessions to use this scheme, load it up, modify it to what you would normally set, and save it over the top of the Default Settings session.

Windows Registry Editor Version 5.00
 
[[HKEY_CURRENT_USER\Software\SimonTatham\PuTTY\Sessions\igvita-desert]]
"TerminalType"="xterm"
"TerminalSpeed"="38400,38400"
"TerminalModes"="INTR=A,QUIT=A,ERASE=A,KILL=A,EOF=A,EOL=A,EOL2=A,START=A,STOP=A,SUSP=A,DSUSP=A,REPRINT=A,WERASE=A,LNEXT=A,FLUSH=A,SWTCH=A,STATUS=A,DISCARD=A,IGNPAR=A,PARMRK=A,INPCK=A,ISTRIP=A,INLCR=A,IGNCR=A,ICRNL=A,IUCLC=A,IXON=A,IXANY=A,IXOFF=A,IMAXBEL=A,ISIG=A,ICANON=A,XCASE=A,ECHO=A,ECHOE=A,ECHOK=A,ECHONL=A,NOFLSH=A,TOSTOP=A,IEXTEN=A,ECHOCTL=A,ECHOKE=A,PENDIN=A,OPOST=A,OLCUC=A,ONLCR=A,OCRNL=A,ONOCR=A,ONLRET=A,CS7=A,CS8=A,PARENB=A,PARODD=A,"
"UseSystemColours"=dword:00000000
"TryPalette"=dword:00000000
"ANSIColour"=dword:00000001
"Xterm256Colour"=dword:00000001
"BoldAsColour"=dword:00000001
"Colour0"="255,255,255"
"Colour1"="255,255,255"
"Colour2"="51,51,51"
"Colour3"="85,85,85"
"Colour4"="0,0,0"
"Colour5"="0,255,0"
"Colour6"="77,77,77"
"Colour7"="85,85,85"
"Colour8"="255,43,43"
"Colour9"="255,85,85"
"Colour10"="152,251,152"
"Colour11"="85,255,85"
"Colour12"="240,230,140"
"Colour13"="255,255,85"
"Colour14"="205,133,63"
"Colour15"="135,206,235"
"Colour16"="255,222,173"
"Colour17"="255,85,255"
"Colour18"="255,160,160"
"Colour19"="255,215,0"
"Colour20"="245,222,179"
"Colour21"="255,255,255"