After Main Ops 02, you'll be given a bit of freedom to explore all of Afghanistan and work on your first few Main Ops. There are lots of tips that make the game more enjoyable or easier to play that the game doesn't outright tell you, and you can learn these tactics here.
Non-Lethal Tactics
The general way to take care of enemies non-lethally is with the Wu S.Pistol, and further developments of the weapon make this easier. In the early game, your tranq pistol won't have a very high ammo capacity, but you can get over this hurdle without having to call in a supply drop every few minutes. You can hold up enemies by slowly walking behind them and pointing any weapon at them, although it's best for it to be the Wu S.Pistol just in case.
When an enemy is held up, you can interrogate them, tell them to lie down, or choke them out. You can also just tranquilize them when they're less of a moving target. When an enemy is lying down, you can also kick them to stun them, putting them to sleep without using any ammunition.
The best thing you can do to an enemy non-lethally to remove them as a threat is to extract them out of the area, but putting them to sleep and telling them to lie down while awake also have benefits. Tranquilized enemies will not get up on their feet to fight when their allies enter combat, whereas enemies on the ground do, but tranquilizers and stunned enemies will eventually wake up. If you tell an enemy to lie on the ground and he isn't found by any of his allies or jumps to their feet when put on alert, he'll just lie on the ground indefinitely; in his mind, he has no idea if you're still standing there behind him with a gun to his head. Use either tactic when it's most suitable to the situation you're in, if you don't feel like extracting enemies.
Fulton Extraction
Extracting things has a lot of benefits, obviously. In the early game, you'll want to extract as many soldiers and other items when you can to improve Mother Base and make small amounts of GMP right off the bat by selling mortars and turrets you pick up. There's an upgrade available for Fulton Devices that is only available after extracting 500 enemies, so you should really aim to accomplish this as soon as possible early on. When you're able to extract shipping containers full of materials, you can ride it back up to the chopper for a super-quick extraction out of a mission area or hotzone. To ride a cargo container, climb on it and continue to hold the extraction key/button after the icon for extraction is filled.
Weapons / Items
The majority of your development items are in this category. Some can be used only by you, your personnel, or both. It's a good idea to develop as much as you can when the development cost has become incredibly minute for you. When you first start out, keep everything to yourself and only develop what you deem to be immediately useful.
After Side Ops 107-109, your attachments that you develop alongside some weapons will be available for use on other weapons. For example, the suppressor on your tranquilizer can be transferred to a lot of other pistols to make it silent.
Tools
There are only a few tools for you to upgrade, but you'll want to get these upgrades as soon as you can. Further developing the Int-Scope will allow you to identify their abilities in certain categories for use in Mother Base, as well as any special skills they may have. The quality of detectable abilities and accuracy of skill detection increases as the Int-Scope improves.
The iDroid's upgrades are generally for convenience, as some of them only allow you to add more markers on the map. This is a luxury that you'll wish you had sometimes, so don't toss these development items aside. The first upgrade for the iDroid adds a speaker function that allows you to play tapes for soldiers to hear; some of those may be useful in certain situations, and you can get a good idea on which ones when you own them.
The Fulton Recovery Device is used to extract prisoners, enemy soldiers, and wild animals to Mother Base. When you improve the cargo capabilities, you'll be able to extract gun emplacements, mortars, and eventually vehicles, anti-air emplacements, and large shipping containers. These are debatably some of the most important upgrades in the early game. After Side Ops 050, you can develop the Fulton Wormhole, which allows for indoor extractions that cannot be interrupted.
Prosthetic Arm
The bionic arm can be upgraded after Main Ops 05, and the upgrades are different than the others for weapons and the like. Similar to tools, most of the upgrades granted to the bionic arm are stacked on top of each other, but the arm's upgrades vary in their uses. Some deal with movement speed and others improve other things. Upgrading the arm should always be a high priority due to the instant benefits you receive from doing so.
Uniforms
The sneaking suit is superior to all other suits, all the time. There's no reason to not use a sneaking suit. If you have the Tuxedo, try not to use it if you're aiming to be sneaky; that suit makes you stick out like a sore thumb.
Throwing Weapons
There are various weapons and items that are made to be thrown, like grenades and empty bullet magazines. These can be aimed and thrown, but what the game doesn't tell you is that holding the throw key/button will dramatically increase the distance at which you can throw an object. This significantly increases the capabilities these weapons have.
Heroism & Demonism
When you hit 150,000 Heroism, you'll hit gold status, and will receive some emblem parts and an achievemen for it. This also affects the quality of volunteers that join Diamond Dogs after missions. Aside from that, that's all Heroism does.
Killing people and doing bad things makes the horn on your head bigger through a Demonism point system, which is completely invisible to players. Maxing out the hidden amount of points responsible for this makes your horn huge and you're somewhat covered in a lot of blood you can't wash off until you reduce your Demonism. Developing a nuke adds 50,000 points to this score, immediately putting you at maximum horn and a full coat of blood. You'll have to do things nicely in order to reduce your Demonism again.
Note: Heroism and Demonism do not work like a spectrum. They are completely separate totals and raising Heroism doesn't always raise Demonism.
Free Roam
The tips here are what make up the free roam pages in the walkthrough, but it's a good idea to know them here as well.
By capturing a location or guard post (neutralizing all threatening enemies), you'll earn some emblem pieces. Pieces are awarded by the number of outposts captured, not by capturing a specific outpost, so you can get the very first piece in this series from literally any place in Afghanistan. Because of this, it's very hard to keep track of which places you've captured, so be cautious if you want to get all the parts.
Several locations in both free roam areas have little orange metal plates that work as shipping areas, which are called delivery points. By collecting the shipping manifests from at least two delivery points, you can fast travel between them without having to use your chopper by sitting on one while in a cardboard box. These manifests are small pieces of paper taped to poles on these delivery points.
Lots of other places have giant radars that, when destroyed, open up a new landing zone for your chopper. It's always good to have as many of these available as possible, although sometimes it's not a good idea to use one. If you're trying to land or be extracted from a fully populated base, it may not be a good idea to send the chopper there.
Miscellaneous
Mashing the key/button to unlock a door unlocks it faster. It seems being impatient pays off sometimes. Shooting most lights will destroy them, and they'll stay destroyed after a checkpoint reload, so it's a good idea to shoot them out on more difficult sneaking missions.
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