Borderlands/General Tips

Be aware of your shield, health, and enemies when drop reloading. You do NOT want to die before you pick your gun back (and it happens far too often).
Always keep an eye on your Phasewalk skill and when it recharges. Remember - it's not just a tool to get from point A to B faster; during enemy encounters, utilizing it can save your butt.
On that note, be aware of where your Phasewalk will end - you create a small explosion when you exit that's strong enough to set off explosive barrels. You definitely do not want to kill yourself when no enemies are around.
Use medkits! They're cheap, take only a few seconds to buy many, and will help you survive tough situations. It takes 10 seconds for the medkit to finish healing, so when stringing together heals for constant healing over time, watch your timer or health regen.
If you make a mistake and drop Sledge's Shotgun into an abyss, either: die and savewarp while in the purple warp, or go back to Headstone Mine and kill Sledge again for another Sledge's Shotgun. Although it takes a few minutes to kill Sledge again, keep in mind that your run is NOT over if you somehow lose your shotgun.
Mash that sprint key. A lot of things will make you stop running in Borderlands (gunfire, (invisible) steps, etc.), and walking is illegal in speedrunning in most cases.
When spawning a car, you can use the arrow and enter keys to spawn and teleport into the driver seat instead of clicking each individual option.