Please note: The Usual Disclaimer applies as always.
We all have to start somewhere - even people like Matt Mercer and Matt Colville had session #1 once. What follows is my advice for those of you out there who are about to run your first sessions.
Small group, small stories, small stakes. You're going to mess up, and the more people you have to run for, the harder it'll be and the more you'll run into issues. Keep the group small, and run the story slowly. Give yourself time to think.
Run something new-GM-friendly. Lost Mine of Phandelver for 5e D&D, Beale of Boregal for Numenera and their ilk are all fairly simple to run. In fact, whatever game you go with and whatever system it runs on, whether it's from the Cypher System, FATE, D&D, Powered by the Apocalypse, there'll be starter adventures for it. Use one of them. Give yourself the framework of someone's published work to help. They're generally thoroughly playtested and specifically designed to help people like you out.
Prepare the World, Plan the Mountains, Discover the Valleys
In your planning, work out the major plot points that ideally the players will hit. If they run past something, go with it, but have an idea for what can happen. If they mess that up, then they mess it up, but at least you can do something planned for where they'll go and what they might do that day. But don't over-plan it. Just the highlights and a general overview are enough. The group will fill in the details themselves as you all play.
Work on Your NPCs
The people the group talk to will provide a lot of the flavour of the world that the story inhabits. Spend some time designing interesting NPCs so you can run interesting characters for your players.
Make sure you've got print-outs of notes, references to the most common rules and a binder to keep everything together. As the campaign builds, you're going to want to be able to refer back to things that happened, and if you're not taking notes and storing them, then you're going to create issues for yourself later. Personally I prefer A5 binders to A4, as they suit a more note-based approach rather than the long essays you tend to get with A4 pages, but whatever works for you is good.
With that in mind...
After each session, make notes on all the major events of the game, NPCs met/killed, and items acquired/lost. Being able to refer back to a single page of notes for any particular session makes referencing what's happened far easier than having to go through the full notes you'll have made during the session itself.
Audio is great, video is better. You'll want to be able to go back and see how you did. Obviously this is easier if you're running a game over Skype/Roll20/Discord etc, but if it's being played in meatspace, just use your phone to record the audio or prop it up to record video too.
The ability to go back and critique your own performance is possibly the most useful tool you'll have as a GM.
Remember It's Not You vs The Players
When they defeat your BBEG, that's not a bad thing. When they foil your plans by being clever, that's cool. Your role is to facilitate, not to "win". They can win or lose, but you can only provide the story. Nothing more, nothing less. Your job is to make sure your players are emotionally engaged with your story; keep that in mind. That means most of the time you're going to have to work with whatever they want to do. However...
You Can Say No
Sometimes your players are going to come out with a dick move. It happens. You can say no to them doing something, but elaborate on why you're saying no. Make sure they know you're not doing it to trample on them. As much as possible, if you've got to say "no", make it "no, but..." and give them a compromise.
Now, there's also ways to do an end run-around on this. Sometimes it's easier to drop into a cinematic moment to avoid a player doing something you'd rather they didn't. This most often comes in handy when you're putting them in a position where the normal default response they'd take would have awful consequences. For more about that, watch this:
This isn't railroading, but be careful not to take it too far or overuse it
Own Your Mistakes
When you mess up, and you're going to mess up, own up to it, say sorry and carry on. Don't dwell on it too much. At the same time, learn from it. Try and work out why what went wrong happened, and put something in place to try and avoid it next time.
Don't Make Players Roll Unnecessarily
If they can't fail, or if it's a situation where they shouldn't be able to (they have unlimited time, it's a really simple thing or similar) don't make them roll. As a rough rule of thumb, if their roll wouldn't change what's going to happen, don't make them make that roll.
If you're all rolling dice and moving minis, then you're doing it right.
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