About.com has a set of tips on how to win at Monopoly (linked from LifeHacker). Only 3 of the tips are worth paying attention to: one obvious one which they get wrong, one not-so-obvious one, and one style one which they get wrong.
Obvious: Buy smart. They list certain conditions under which you must pick up an available property. Actually, you should always buy any available property you land on if you've got the cash. Scared you'll run out of money? You can mortgage the property later.
Not obvious: When you build, get to three houses as quickly as possible. This is a good general rule I typically followed based on specific circumstances.
Wrong: Show no mercy. If winning is everything to you, sure, show no mercy. But if you're playing with friends - dude, they're your friends.