You'll get fed up with touts/scammers/beggers quickly. Avoid eye contact with them, say 'no' firmly and ignore them. You'll figure out how to deal with them, but fair warning that they're the worst part of SEA (which I'd argue means it's a great region if that's the worst of it).
If some guy on a bike/tuk tuk offers you girls or drugs, very high chance he wants to take you somewhere remote to rob you.
Read up on common scams, there's all kinds of weird shit like tea house and baby formula scams. Asians are an innovative people.
Don't rush, spend 3-4 nights in most locations, the classic newbie mistake is trying to visit as many places as possible and ultimately spending 50% of the time in transit.
You don't have to share a dorm if you don't want to (although I'd argue capsules are a good middle ground) but try to at least get a private room in a hostel, best times I've had traveling solo have been with friends I made in hostels.
Pick up local pro biotics at a chemist when you arrive. Consider buying some imodium as well in case you eat something dodgy the night before a long bus/plane/train trip.
If you're lazy/anxious, tour groups are fine but the best bang for you buck is organising your own itinerary.
And heaps of other shit - we really ought to have a pasta for these threads.