1. Always buy the threaded ones.  Otherwise it's very difficult to attach a pump to it without pushing the valve down.  Repeat that enough times and it will cause failure at the point where the valve attaches to the tube...
2. Always let a smidge of air out of a Presta valve equipped tire before trying to add air.  If you don't do that, it can be very hard to get it started.  Seems like the valves like to stick (and not release under just air pressure) after they've been sitting for oh, more than 5 minutes!

Oh, and if you can avoid Presta valves, that'd be the best thing...  They might be smaller and lighter, but they are a lot more difficult to deal with than Shrader valves.