- If you haven't already, DO NOT look up the sanity effects before you play through. Also, don't be OCD about keeping your sanity up, because while you can easily, the game is much better if you let it stay low. When you get to it, examine the bathtub, you get a pretty sweet reward which a fair amount of people miss. Other than that, I don't recall anything that needs to be said up front.
- Play through once with each god for the true ending.
When you choose a color an artifact at the end of the prologue (you'll know it when you get there), it will affect the overall difficulty of the game as well as which ending cutscenes you get. Green is easiest, then Blue, then Red. Breakdown is like this:
Green: Sanity effects - monsters make you go "crazier" faster.
Blue: Magic - they shoot at you more, some of them can heal themselves, etc. They use magic.
Red: Combat - They hit harder, take more damage, and are more aggressive.
Considering there's a spell in the game to easily cleanse your sanity bar whenever the hell you want, Green is the easiest.