This contains some excellent advice by St Theophan the Recluse:
http://www.orthodoxphotos.com/readings/learn/rule.shtml
Do consult the other links.
Here are some important tips I got from what I've read so far:
Having the right emotions accompanying prayer are very much part of the purpose of prayer. I have for a long time misunderstood this, since I thought you were supposed to pray regardless of how you felt. That is true in the sense that you have to force yourself to pray when you feel like doing something else, but you also have to force yourself to FEEL the appropriate emotions when praying. Feeling the correct emotions is linked with focusing on the words of the prayer, understanding them and thus having an awareness of God's presence.
Note that this is NOT the same as the Roman Catholic tradition of conjuring IMAGES in your mind as you pray, e.g. trying to imagine the Crucifixion while praying the rosary. The Orthodox method recognizes that the Presence you are addressing in prayer is unseen by our normal vision, and therefore we shouldn't try to conjure up images. We SHOULD try to maintain a constant awareness of God, of His love for us, of His greatness, and all His other attributes that we recognize.
Don't be hasty with prayer! Mumbling out the words without paying attention to them is completely, utterly pointless. It's better to get through one prayer, having focused on it intensely, then rattle through ten prayers without understanding a word. St Theophan recommends having a set time, like 15 minutes, and just focus on spending those 15 minutes praying your prayers with all your heart. However much you get through is really not the point.
There are many other wonderful points but I'll let people read for themselves.