A nice trick for using putty is to get Launchy, which opens a slick, auto-completing command line when you press Alt-Space (configurable hotkey). With the PuTTY plugin, you can then type ssh to launch a new copy of putty and connect to the host. It works with Putty Tray (even when storing sessions in a file, I think).

Another “trick” is to start using key-based authentication (i.e. passwordless, aside from one-time entry of any passphrase you set on the private keyfile), and run Pageant at startup. This will let you login to any host without having to give a password or specify the private key for each stored session. If you turn on “Allow agent forwarding” in the putty settings, you can then also do stuff like PuTTY->host A, run sftp->host B and host A will login to host B without prompting for a password or requiring a copy of your private key be stored on host A; in fact host A won’t ever even see the private key. If you enter an “Auto-login username” for a session (or specify the host in the format username@hostname), you’ll be shot straight to the remote shell without ever being prompted for authentication when you launch putty on the session. WinSCP will also use Pageant to perform key-based authentication, without you needing to setup the path to the key for each host.

I also find that setting the “Terminal-type string” to xterm-color gives better results, in some programs like vim, on some hosts (a.k.a. I’m too lazy to try to understand termcaps, just like I’m too lazy to figure out why I’ve never been able to try out zsh on any host ever, through PuTTY, without the backspace key no longer working).

The only other tip I’d have is to switch on “Reset scrollback on keypress” and switch off “Reset scrollback on display activity,” but that’s probably just a matter of personal preference. Still, to me the defaults seem exactly the opposite of what they should be.