Back some time ago, I discussed depth of field and how it affects different types of images. Here's something to keep in mind, particularly for portraits and other close work.
Depth of field is always parallel to the image plane. This can be an issue if you are accustomed to setting focus and then recomposing before taking the shot. For a portrait, if you focus on the eyes and then recompose, you run the risk of the eyes going out of focus because the depth of field will move along with the camera.
Compact cameras generally handle this well, since they almost always use face recognition (you can compose first then shoot); and they also have incredibly long depth of field anyway. But you folks who use SLRs may have a problem. Whenever possible (and it is possible with just about all recent SLRs), choose the camera's focusing point that is closest to the eyes. That will eliminate the need to recompose and risk moving the depth of field.
The same principle holds true with macro or any other close-up photography.