For example, a few years ago I discovered that if your connection's settings allow access to local drives, from the remote window you can click Start, then Run, and then type "
\\tsclient\c$" to access the C: drive of the computer you're connecting from. But even better than that, a few weeks ago I discovered that if you're using Vista and/or Server 2008, you can just use Ctrl+C and Ctrl+V to copy and paste files across the connection. Way easier in most situations. Drag and drop also works occasionally, but the UI seems a bit flaky to me, so I'm using the clipboard.
Sometimes I also have to restart a computer remotely through a remote desktop connection. I used to do this by opening a command prompt, and then typing "
shutdown /r /t 0". That's fairly straightforward (once you remember the command), but it turns out that there's a much easier way. When I remember that the easier way exists, I just press Ctrl+Alt+End, click the arrow next to the power button, and click Restart. (Ctrl+Alt+End gets you the usual Ctrl+Alt+Delete screen, so you can log off, restart, shut down, change passwords, open Task Manager, and the like.)