1. Always put at least one point in swim, particularly if you can't use it untrained.
2. Always have a knife, preferably at least two.
3. Always have rope, preferably with a grappling hook.
I'm pretty set on the first two in real life. Used to be pretty great at swimming, enough to be recommended to the high school swim team, only to find that I suddenly couldn't swim worth a damn when I got there. Turns out extra ribs run in the family, and mine grew enough to severely restrict blood flow to my arms. Soon I will be back to the doctor recommended quantity of bones though. And of course, I've carried a knife pretty much always since I graduated high school (people have learned not to ask if I have my knife, just if they can borrow it).
But I still need rope. I thought about braiding my own out of paracord, but I'd need to do it with at least 5 strands to hold my weight, and suspect that I may be better off with a ~50 foot hank of actual climbing rope for size and weight. Now if only folding grappling hooks weren't basically worthless or
An unobtrusive means of carrying said rope would also be handy.
A few other rules to live/game by off the top of my head. Some of these are more applicable to daily life than others...
-Always carry a pistol if they exist and you're allowed. If pistols are available with a compact folding stock, and those are STILL legal for you, take that. The stock makes it better.
-Even if you don't smoke, a lighter is worth the limited space it takes
-In a pinch, a tower shield and an aqueduct make for a GREAT high speed escape. Even works against dragons. Just be sure the tower shield has a layer of metal on the outside.
-A little planning goes a long way, and can very effectively derail an encounter the GM was expecting the party to blindly blunder into.
-Shield dwarves make the best point-men for any adventuring party. Kick down the door, seal it back up with a big freaking shield, and all your friends can shoot over the top of you.
-Always keep your wits about you, and keep looking around. Very rarely do bad things happen as a result of paying TOO much attention to your surroundings.
-Libraries are GREAT places to conduct research, even if they don't just serve as someplace with public internet. Don't be afraid to dig through periodicals or newspapers to see what's been going on in the world, particularly if you're new to a city or just got dumped into an unfamiliar world. A few hours of research can significantly lengthen your lifespan.
-If you're in a situation that calls for the big guns, carry ammo to spare. I've had at least one game where the world ended and all the ammo that came into the future through cryofreeze was what I had on me at the time of the apocalypse. After making generous use of short bursts with my future-AK, the GM demanded to know how much ammo I had left, and was astonished to hear that I still had 9 mags. He said he's never carried more than two in any game, because he never needed more.