I've been on this bandwagon for a long time, and most of the things I'd say have already been said here (nice thread, LFS). There are only a few things I'd add.
1. Try different brands of blades. There is a big difference, and lots to choose from. You can buy sampler packs that let you try lots of different blades via some online Paypal stores.
2. Try different creams. I have 3-4 that I alternate between. They're all a bit different. For someone looking for one to buy, you cannot go wrong with Taylor of Old Bond Street or Truefitt.
3. Shave after you shower. The 5-10 minutes in the hot water and moist air will make a huge difference in comfort. I read once somewhere that the average whisker has the same tensile strength of copper wire of the same diameter, so it definitely helps to soften it up.
4. Just as poker and general time-wasting has 2p2, wet shaving has a message board also.
Badger and Blade is a great site with tons of info, and lots of serious bzness posters who take this stuff really seriously. They're very helpful, and this is also the place you can find the guys selling sampler packs of blades above.
This has been the one change to my daily routine over the past 10 years that has had the most positive impact. Regular shaving with disposables and cheap creams and gels ripped me up, made my complexion terrible, and generally made me dread shaving. I have none of those problems now.