- Never force shutdown the computer while Ubuntu is running. Linux has a built-in safe-reboot option that you should familiarize yourself with upfront: Alt+SysRq R-E-I-S-U-B. If that fails and it's totally hung up (no hard drive activity light) then you have no choice, but to hard-reset. But first make sure you entered REISUB correctly.
- Don't change the boot order from Windows to Ubuntu, or shorten the timeout. Windows is the host operating system and it should take priority or you might fall into a fairly common trap that leaves only the Wubi install bootable. When you want Ubuntu to be Number One, then you can install a normal dual boot or replace Windows.
- Create a Windows Repair CD before you need it. It will help if you don't follow the advice in Rule 2. Also, you can repair NTFS (using chkdsk) from a Windows repair CD, but not from Ubuntu.
- Have a good data recovery plan. If you don't have a Windows Install DVD, make sure you create Windows Restore DVDs. When you start to play with multiple operating systems and, later, partition, you want to have good backups. Also, if you don't follow Rule 1, or you have hardware incompatibilities, you could lose data on the Wubi install. So backups are important.
- Don't migrate data to your Wubi install. Wubi uses a virtual disk, a large file. Moving personal photos, videos, music from your Windows host to the Wubi install is like combining all those individual files into a huge, single file archive. So your risk of data loss just went up exponentially. It's totally unnecessary to move data that is easily accessible on /host or other NTFS partitions. And on top of that, data on the virtual disk is not (easily) accessible from Windows. Obviously there's some data that has to be on the virtual disk, but don't blindly copy everything. Make use of the free Ubuntu One service to automatically synchronize backups of your important folders.
- Be very careful going for help when you get stuck. Sometimes it's critical to mention you have Wubi, sometimes it's not. Knowing the difference is not always clear so it's safer just to state it up-front. Remember that most hardcore Ubuntu users and developers don't use Wubi, so consider all advice carefully. Anything to do with installing Grub, bootloaders, reinstalling Ubuntu from a CD, wiping partitions... are likely to be invalid and will damage Windows - and this is the most common advice given to Wubi users. Remember that Wubi does not have a hardcore base of experienced users so proceed with caution...
So that's about it. Some people choose to use Wubi long-term - or once they start using it they don't see the need to switch to a normal dual-boot. Personally, I'd recommend switching to the normal dual-boot, but if you follow the above advice you're at least minimizing risk to yourself.