I was there in 2004, and one of my biggest recommendations is to dress conservatively (pants-not shorts, long-sleeve shirts-or at least not tank-tops or anything that exposes the shoulders). For one, you will not stand out as much, but it is also more respectful (and in some cases required) for certain areas (like mosques).
Taxis are the way to go if you are not being escorted by a tour (I was lucky enough to have a private guide, car, and driver in Cairo).
Everyone else's advice is pretty sound. Be as cautious there as in any other metropolitan city (as in America, Europe, Asia, or Africa), but not necessarily moreso. I actually had more problems with thieves in Rome, Italy than in Egypt. Just remember that Cairo is a huge city with a very dense population!
Oh yes, and get used to constant "security checks" like at the airports (usually in the form of metal detectors/quick baggage check) -- most of the high end hotels require them at the front door for all people entering. Once you get used to that, it really is not that bad and it goes rather quickly.
Hope that helps! I loved Egypt.