What everyone else said. Plus, don't make the mistake of buying a high quality finish paint but starting with el cheapo primer. Don't skimp on that.
- Make sure the workpiece and paint are at 70-75 degrees. It flows much better that way. If it's very warm, it might dry too fast, so thin with a little water (latex) or paint thinner (oil).
- Use rollers for large surfaces. If necessary, do the edges first ("cutting in"), then roll the flat area.
- If possible, rotate the piece so the surface is horizontal.
- Use lots and lots and lots and lots of light.
- Don't overbrush. Load up the brush with paint, and apply it with smooth strokes. If there is a minor imperfection, don't sweat it. Let it dry and sand the affected area to correct. That's much better than messing up the entire area to get one tiny nib.
- Let the piece dry thoroughly before sanding and the next coat. With some paints, you can recoat relatively quickly, but it will still take a long time for the paint to truly harden (one to three weeks). So you might as well let each coat dry for a full 24 hours. Nothing is worse than having a "drip" spread all over the place because you sanded it while it was still wet.
- Painting takes practice. If you don't want to mess up your fine woodworking pieces, you can come over to my place and practice on the window trim. If you bring your own paint, I'll even let you do that for free!
I've never used a sprayer, but it's no panacea. From what I've seen, the cheaper ones tend to clog easily, and don't distribute the paint evenly. There is a lot of technique there as well.