Never do a drug you know nothing about just because it sounds cool, or for whatever other reason. The first couple of times you do a drug should be in the company of people who've done it before and who can tell you what to expect.

Also if possible, do some research as to what that particular drug will do to your body. People have all sorts of allergies and medical problems, and different drugs react differently with SAD, depression, insomnia, appetite problems etc. Different drugs also play differently with different states of mind - for example, if you're already tired and cranky, and you take speed to pick yourself up at a party, you might get hyper and cranky. I do. It's not a pretty picture.

To recap: know what you're doing, from personal research as well as from friends who have experience. This is the be all and end all of safe drug use.