Practice the fundamentals of the instrument. Without a solid foundation from which to build on, the rest of your playing could suffer. You'll battle bad habits indefinitely. If you have played for a while, work on your weaknesses. If you are just starting out, master all of the positions to the point where you can play each note without having to think about it.
Work on the things that give you trouble. It's fun and easy to practice the styles and techniques that you have mastered but, ultimately, that will not make you a better player. Spend time on things that give you trouble, and rehearse them until they are no longer challenging. For example, are you an articulate player that has trouble with dynamics? Find simple pieces of music to play that force you to focus on your volume control.
Use practice exercises. Many times, you don't even need the whole instrument to do so. For example, one good way to both warm up and perfect your range is to simply take the mouthpiece and buzz into it, as if you were playing the actual instrument. This is also great for strengthening your embouchure as well. It's important to maintain strong airflow when doing this particular exercise, since all you will hear is a tinny, buzzing sound and not the actual sounds of the instrument.
Practice your scales. After a while, this may seem a bit redundant and remedial, but you never can have too much knowledge about scales and theory. You never know when you will be faced with a piece of music that has an odd key signature---such as the key of B, which is complex with its five sharps---and you will need to call on your practice knowledge.