These tips were learned first-hand by not making use of them, unfortunately. I will from now on.
Pro Tip 1: Book each leg as its own itinerary
This one might seem like a bad idea at first, but that's just because you've been lucky so far. Let me demonstrate. Assume you have a flight Montreal --> Toronto --> Rome --> etc. Now let's say you miss the first leg (a minor 70-minute hop) either by accident or deliberately. That's not far-fetched; maybe you decided to make the drive with a friend the day before instead of blast along at 800 km/h and hope for the best.
Most likely, the airline will inform you that your remaining legs have all been cancelled due to your "no-show" for the first one. You can argue and plead, but their policy is most likely exactly that. Poof goes your holiday. If you had booked each leg separately, they would have been safely treated individually. I admit that you may pay extra by not bundling the entire trip into a single itinerary, but I for one view that as a small insurance against any larger sort of catastrophe.
Google "first leg no show flight cancel" to find many, many sad people who figured this out too late, just as I did.
Pro Tip 2: When late, never give up on a flight
Simply put, keep trying to make a flight even after you think it is a lost cause. In my case, the flight was supposed to depart at 9:55, and I got to the terminal (because of a late previous leg) at 10:00. I gave up, and went to rebook the flight with the ticket agent. As I left them, thankfully with a flight safely booked for the following day, my phone buzzed. An email from the airline arrived saying the flight had been delayed 15 minutes. I shrugged and wished I had at least tried to make it. A few minutes later another email arrived, announcing a second 15-minute delay. And only a few more minutes passed before it was delayed yet another 15!
If I had tried at all, I could have made that flight, barring the chance that security would not have let me. But I'll never know now.