Doing my first all grain batch this weekend. What are the key issues for me to follow/watch/do?

Excellent advice has already been given. I would only add, take your time, don't rush, start as early as you can so you don't feel pressured by time. And, like the carpentry adage of 'measure twice, cut once', check everything carefully - though, sometimes, mistakes can produce surprisingly good results! Enjoy!

If you're using coolers for HLT or MLT - make sure they have been at room temperature for a significant amount of time before using them. Sadly, I once made this rookie mistake, which made it very difficult to hit the correct temperatures...

Take really good notes so you can correct next time for things that don't work out this time.

Ditto what PJ and dzachareas said about the mash temps, recirculating, and sparging slowly. Probably the most important aspects.

Also, I'd add that if you haven't already been using them, irish moss/whirfloc and a wort chiller are essential if you don't want to get chill haze. Need to have a good solid (fast) cold break at the end of the boil.

Keep a steady eye on your temperature throughout your mash. Raise the mash temp to 168 before sparging with 168 degree water. Do a nice slow sparge, and start it by vorlaufing (cycling the water through the grain bed) before sparging. I'm sure there are a few other things to watch like your water water to grain ratio, I use 1.25 qts/lb usually, but I just posted the things I messed up on my first all grain batch.

Have somebody check your grain crush too. This will have a lot to do with your extraction rate.

My post is also assuming that you know if you are going to do a protein rest and a temperature that you want to mash at, depending on the body or mouthfeel that you want. I actually just listened to an old Brew Strong podcast from the Brewing Network that was very informative. You can look it up on there website or in Itunes. I believe it was just titled Mashing.

First, temperature of the mash.

Second, gravity. This will help you determine a lot of things, like if you need to boil down / add water.