so you want to do a zine?  i don't know if i can really suggest it if you can avoid it, you'll fairly undeniably lose loads of money; but then again it kind of does provide you with an aggravating hobby that takes as many hours as you're willing to give.  for me the number one thing to remember is that if you don't think your zine is good you should give it up. 

step one is to decide on what your zine will be about.  maybe it's music oriented or literary or personal angst, but regardless of the subject you should look into what zines there are that you'd like to be able to call your peers.  this should give you ideas of both what to do & what not to do in your zine & what your twist on the genre is gonna be.  if you're going to do something with interviews in it, keep in mind 9 out of 10 readers won't know the person & you need to make the interview interesting to them despite that fact. 

after you've decided what your zine's about you need to come up with a name.  you need to be careful what you call it because you'll be associated with it maybe for years with people going, "hey, it's the QRD guy," or whatever, so a good title is key.  also, your title is the first thing people find out about your zine, so try & let the title be in someway memorable & still simple.  also make sure the name hasn't already been used.

when it comes to actual execution of the zine after you have the content down, there are still a lot of options.

first off there's binding.  some people put a single staple in a corner, this makes for a zine that falls apart easy.  then there's putting staples along one edge of the paper, which can work okay.  then there's having paper folded in half & stapled, which is what i personally like.  please always use at least two staples on the spine regardless of the size.  if you have money to burn, you can look into pefect binding options at your printer. 

then there's page size.  you got full size, half legal, half size, & it keeps going down from there.  you can make it to fit in people's wallets if you want.  basically you should go for an easy layout for you (at least to start) which is generally either half size or full size, but then tiny size kinda helps people remember you (but layout is trickier).  keep in mind your total pages need to be divisible by four. 

when you go to the copy shop, you'll find out some things.  like photocopiers don't copy to the edge of the paper so you should leave at least a quarter of an inch to the edge from anything you want people to read.  also, the clerks are incompetent.  they'll put some pages with the backs upside down & crooked & shooting stuff at 95% instead of 100% & stuff like that.  so look everything over before you leave.  you don't have to accept & pay for an unusable product.  i personally staple my own copies because of problems with assembling with pages in the wrong order. 

six pieces of advice when getting copies made:
1) keep a distance from an edge of the paper & the fold to allow for schlocky clerks. 
2) when you fill out the form write on it "copy at 100% with copy to edge feature" 
3) ask the clerk what you can do to make their job easier, making a one sided copy or keeping it double sided.  their industrial copy machines can't deal with cut & paste well & may destroy your work.. 
4) get the zine collated, but fold & staple it yourself (requires buying a saddle stapler, order it & the weird staples it takes from Staples for ~$50 i think, get a catalog at their store, i think they have a first time buyers discount (they don't stock the stapler in the stores) & use the rest to minimum purchase order on the stamping kit (a little 4 line thing with little rubber letters so you can customize it) & envelopes).  this saves money & keeps them from being able to put the pages in the wrong order. 
5) when checking the prints, at minimum check the first two copies & last two copies. 
6) if possible go to somewhere you know has at least one employee who is competent. 

setting a price is hard.  basically it's just a formality, because chances are you won't sell enough to buy a jar of honey anyway.  what i do is i take the price it costs to print an issue plus the price of an envelope (when you mail a zine out of envelope, it's going to get damaged, maybe severely) plus postage & round up to the nearest dollar & for special promotion i offer it at or slightly below cost. 

so i guess that's all i can think of off hand.