I always try to move in a clockwise direction (I'm sure ICE doesn't care but it helps me when looking at thumbnails).
Stay in one spot - you don't need a tripod provided you keep as close as possible to the same spot
Ensure you have an overlap - I try to spot a feature at the right of one image and have it on left of next shot,
Take at least one complete band of pictures above and below the 'interesting' part of the picture. Include plenty of sky - it is very annoying to find a black area in your panorama because you included a mountain peak but didn't include the sky either
side of it.
http://photosynth.net/view.aspx?cid=22910e55-586d-4842-968d-d7d82919a2b5 and
http://photosynth.net/view.aspx?cid=683c72cc-abae-46f2-9535-29a3d36acde5 were taken using a handheld point & shoot camera and show in places the problems of not enough sky or floor.
Bob