Richard and the others pretty much covered it.
I'll just elaborate a bit...
With continuous shooting, or even on single frame advance, you're probably going to get at maximum about 7 rapid shots before the buffer fills. If this happens, the camera will give a warning on the LCD. At any point while the buffer is writing to the card, but especially when it's processing many images, try to avoid reviewing the images on the LCD and especially zooming in on them. This taxes the system and greatly increases the likelihood of a lock-up (such as the red light flashing endlessly). if it happens, as Richard outlined, you have to pull the battery to reset the camera. Be sure to then double check your basic settings to make sure they're still where you want them. Another side effect of stressing the system, at least with my camera, was 'random' shadow banding that became more common the deeper the buffer queue, and/or if images were reviewed while clearing the buffer. Possibly related to this, but never definitely proven, is the memory card. IME, you want a non-UHS SDHC card, or even better, just a plain old SD card (though these are very difficult to find now, and are max 2GB, I believe). It might even be getting difficult to find plain old SDHC cards that aren't the faster UHS versions.
If you're shooting something that will likely fill the buffer often, yet you need better buffer clearing, and want to keep shooting DNG (recommended), turn on DNG compression. While this is technically less ideal because the compression is lossy, it is still better than Jpeg only. I found this was necessary for some kinds of events, weddings, etc. and had a hard time seeing any kind of image degradation.
The M9's CCD does not tolerate excessive over exposure. Highlight values will quickly clip. It is better to underexpose a bit, if in doubt, and push files in post.
Related to this, there was some exploration by various users as to whether there was any technical benefit to shooting higher than base ISO (160). The finding was that anything higher than 640 was better handled in post through software such as Lightroom/ACR than in-camera. Meaning, you're better to set ISO 640 as maximum in-camera and if necessary, underexpose to maintain desired shutter speed and then push in post. Of course, pushing several stops will result in a fair amount of image noise, but it's no better to let the camera do this. By doing it in post, it gives you the additional flexibility of pushing exactly as much as needed. Widest dynamic range will be ISO 160, and the above technique will also work by pushing later in post. Major disadvantage to this technique will be dark images while reviewing on the camera's display, which isn't great for review in the first place. It has a tendency to look dark and high contrast. Avoid the temptation to edit/delete images in-camera due to this because they often will look much better on a computer monitor. And because the M9's shadow values can be pushed a fair amount, it's often very possible to salvage images that otherwise look hopeless on its display.
Regarding the battery: depending on how much you shoot, it's a good idea to carry a spare, or two. You'll probably get 300-400 images before the 'danger' zone, which is 50% capacity and lower. In this 'zone' operation can become less stable, especially with older batteries.
Some of the above suggestions are on the more advanced side and for me took some time to become second nature. Starting off, try to keep mindful of these things, but don't worry about it too much. Just try to enjoy the camera, which isn't difficult.
Oh, and the one thing I had to look up in the manual when I first got the M9, was how to change ISO. You press the ISO button down, and have to keep it pressed down, in order to use the 4-way buttons or dial to change the setting.
