Those of you who are just starting out in slide photography, you should be aware that it is not guaranteed that your camera will take the best pictures at its default settings. Take a roll of pictures under decent lighting conditions. Take 3 pictures of every subject, adjusting your exposure compensation to -1/2, 0 and +1/2 stops (or use 1/3 stop steps if your camera has them). Project your pictures from a slide projector at its normal bulb setting. Alternatively, put them on a light table, which you can buy at any camera store, such as Studio Center Photographics. Figure out which camera setting gave the best looking results (don’t use the "bright" settings available on many projectors). If the best pictures were not those taken at zero exposure compensation, set your camera’s exposure compensation to that level.
Another problem you might have is that the film speed for many slide films is not exactly what the film is rated at. For example, Fuji Velvia is rated at ISO 50, but in reality is closer to ISO 40 according to many photographers. Kodak E100 and E200 are really closer to ISO 80 and 160 respectively. What does this mean? It means that if you regularly keep your camera film speed setting at what the film sets automatically (e.g. 50 for Fuji Velvia) and tell your developer to develop it in the regular way, your images will come out a bit dim. If you try to fix this afterwards by (for example) using the "high" setting on your slide projector, you will lose detail and saturation over what you would have gotten by properly exposing the film in the first place. Check it out for yourself by resetting the ISO setting for the film after you load it. Compare the ISO adjusted results with the normal ISO shots, and decide for yourself what is best for you. If you are an oldtimer in the photog biz, you can alternatively instruct your processing lab to modify their processing in a specific way. For example, George Lepp says he tells his lab to process E6 film for 6 min instead of 5 min.
A similar situation could arise when you "push" process your slide film. What is "pushing"? It means that, for example, you load a roll of ISO 100 film and then reset the film speed on the camera dial to 200. This is called "pushing 1 stop" because it will expose the film only half as much as usual (1 stop is a factor of 2 in exposure). This used to be very common in low light situations because high speed film used to be very poor quality (grainy). Many photographers will still do this commonly today, because they need the speed to freeze action in a dim lighting situation. However, there could be a problem when you tell your developer to process the film. The best thing to do is to say "I shot this 100 speed film at ISO 200". The lab will then develop the film by an appropriately longer amount. Alternatively, you could say "push 1 stop". Either way, the slides will usually turn out OK, but this isn't guaranteed, because some labs base their "push" development on film manufacturer's suggestions, which historically tend toward underexposure. According to George Lepp the appropriate developing times for doubling and quadrupling the ISO are 9 minutes and 12.5 minutes, respectively. It is up to you to decide if you are satisfied with your pushed slides. They should look basically the same in intensity and color balance as film shot at regular speed, with perhaps a bit of increased contrast. If your pushed slides look too dark and your regular ones don't, talk to the lab about it. You could also adjust your exposure compensation on your camera, but you don't want to have to worry about different camera settings for pushed vs. non-pushed film.
If you happen to have some slides that are really good except for being a little dim, you can recover some of the lost detail and get a decent looking result by having the slide duped at an overexposure. Cambron makes a slide duping kit for about $100, which you can use with a bright background bulb. Or you could take your slides to a photo developer and have them do it, although you won’t have much control over the results. If on the other hand you have slides that are too bright or "washed out", then you are basically out of luck. Slight underexposure is better than slight overexposure with slides. If you are shooting prints instead of slides, you are lucky, in that prints can be acceptable over about a 3 stop range, as opposed to only about 1 stop for slides. However, an underexposed negative is often worse than an overexposed one, due to the loss of shadow detail.
One final problem for newcomers is the issue of which film to use. Fuji Velvia is an extremely high resolution, high contrast film with super high color saturation. Many people swear by it. For others, the colors are too unrealistically bright, the film is too slow (ISO 50) and doesn't push well (it is too high in contrast). Other very fine films for 35 mm photography include Kodak Ektachrome E100S and E100SW, Fuji Provia 100, Fuji Sensia II 100, and AgfaChrome CTX & RSX 100, plus "amateur" films like the Kodak Elite series. Does it really make a difference which of these films you use? It depends on your point of view. With any of these films, you can achieve results just as beautiful and technically perfect as those shot by anyone else, if you are careful about the lighting and composition in your shot. Very often, you will hear people comment "Wow, what a shot! What film were you using?", when the impact of the shot results mostly from the lighting and composition chosen by the photographer. So what do you gain from using the "best" films? In some situations they can make an acceptable shot out of a technically mediocre one. One example might be using Velvia to photograph flowers on a heavily overcast day. But really, many of the differences between good films are simply a matter of taste, or personal preference. You can now even use some of the higher speed slide films (e.g. Kodak E200) and get virtually identical results to those from lower speed films (ISO 100,50). In the print film arena, you can use 400 speed film with decent results. So, use a film because you like the results you get with it, not because it is "better" than other films.