Le Cam's Nine Principles
In a rather funny article criticizing the maximum likelihood principle, Lucien Le Cam outlined nine principles.
Basic Principle 0. Do not trust any principle.
This applies in particular to the principles and recommendations listed below and should be kept in mind any time one encounters a problem worth studying. Anyway, here are some other principles.
Principle 1. Have clear in your mind what it is that you want to estimate.
Principle 2. Try to ascertain in some way what precision you need (or can get) and what you are going to do with the estimate when you get it.
Principle 3. Before venturing an estimate, check that the rationale which led you to it is compatible with the data you have.
Principle 4. If satisfied that everything is in order, try first a crude but reliable procedure to locate the general area in which your parameters lie.
Principle 5. Having localized yourself by (4), refine the estimate using some of your theoretical assumptions, being careful all the while not to undo what you did in (4).
Principle 6. Never trust an estimate which is thrown out of whack if you suppress a single observation.
Principle 7. If you need to use asymptotic arguments, do not forget to let your number of observations tend to infinity.
Principle 8. Joseph Bertrand said it this way: “Give me four parameters and I shall describe an elephant; with five, it will wave its trunk”^{1}
 Le Cam. Maximum Likelihood: An Introduction. International Statistical Review, 1990.

I thought this was said by John von Neumann. ↩