It must be easy to banish the tips---but when learning a new GUI, I use them often. If it's a tip at startup I usually turn it off after at most a dozen runs, but if tips are well designed this gives me a sense of the application space.
Ways tips could be improved:
Don't tip a user about a feature that user has used recently.
Making tips sensitive to context can be helpful (the new Vista bars are an example --- pause to get the vapors; I have just said something nice about Vista).
Tips that are unobtrusive or appear during otherwise wasted time are good.
Tip during loading screen is good, but it must be findable after loading is over. Some popular game, maybe it was Baldur's Gate, would give you a tip during loading, and then afterward you could go back and review the tips in your journal. So if you had a vague memory of a useful tip a few screens back, you could find it quickly, in the same place you were accustomed to look for other recent information. A 'recently tipped' item on the help menu perhaps?
