The most important rule: Don't make it look nice!
Usually this is very difficult when you are a graphic designer by heart, but it is so important to get results that make sense. When you just sketch with a felt-tip then you make it your speaking partner (one of the real end-users) much easier to help, suggest, or sketch with you. When you cook up a shiny design-proposition, it will look much more ready for an end-user, and you will only get feedback on details. The distance between buttons, the amount of shine on a bevel, and so on:
You always get feedback on the level of detail you provide a user with.
I used to make sketches in Flash (and yes, they were just sketches), but I learned that I got so much more basic information when I took just some paper, some felt-tips, a pair of scissors and some stickies (yes I am Dutch but I do mean those yellow attachable papers). When you make a rough sketch you get basic information, when you make a detailed sketch you get detailed information (but not the basix!), when you make a glossy sketch you just get glossy information.
More information:
Usability net about Prototyping
Shawn Medero's article on paper prototyping, very useful!
Dutch movie on how to use paper prototyping. Thank you, Ruben!
5 tips, including the "incredibly intelligent mouse"
Remark: I just found out, although I call those yellow attachable papers stickies, they're actually called Post-it. thank you Alda.

Read Kathy Sierra's article "Don't make the Demo look Done", where this picture is from.
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