I have seen some truly bad looking resumes in my time. And I mean bad. You don't have to create the best resume in history or pay a firm to write one for you, but it's your foot forward when introducing yourself to a potential employer so you should certainly put the time into writing a good one. Even the Creatives, you need a good resume to introduce yourself pre-portfolio so you listen up as well.
What to Say
First, just remember that less is usually more. Unless you're in management with a long career path behind you (15+ years), you need to keep it to one page. This can be challenging but it will really force you to think about the most important achievements and not just rattling off your duties in each position. Which brings me to my next point: Don't just rattle off your duties. We all know what a Copywriter or an Account Director or a Marketing Manager is supposed to do. Don't waste space talking about reviewing creative briefs. The best possible content is to be able to state measurable achievements - increase in sales, awards won, and list specific campaigns, clients, or products when possible. Be specific about mediums as well. If you've touched something with an online/digital aspect, be sure to play that up as well.
How to Say It
I feel my best advice over the years is to have multiple versions of your resume available, and customized to the types of employers or positions you may be a fit for. I am personally a fan of Objectives as well. Keep in mind that the easier you make it on the person reading the resume, the better for you. Clearly state who you are and what you're seeking as plainly as possible at the top of your resume.
When it comes to Skills, you really don't need to bother listing programs you know well unless that's what you do: so Programmers and Designers, yes list Flash, Photoshop, C#, CSS, etc. Everyone else, you can leave them off. You're not likely getting hired for your knowledge of Powerpoint or Excel. If you feel like some of these skills are important but not crucial to getting the job done, then list them in your cover letter.
Regarding cover letters - it is fine to now make your cover letter the email body when you send it out. (If you're applying via a company website then you can upload it as a separate doc, but when simply emailing your resume it's extraneous to attach one.) What should be included are all the reasons you think you would be a great fit for a specific position or the company in general. All the items you edited from your actual resume should be reviewed to determine if it's appropriate to list them here. The more you can discuss your specific abilities to fill their specific position, the better. Reference competitors you may have experience with, anything that will help you stand out.
So bringing me to the final point: for god's sake don't allow typos in your resume. And I mean never. It's the simplest thing you can control yet I see them all the time. Ask three friends at a minimum to read over it and look for them; don't rely on your eyes or spell check. I can guarantee you will not get a call back with a typo in your resume - period.
Use bullet points, they make everything easier to read
State an Objective
Include email and cell; no need for home phone these days
Include your URL to Linkedin, your blog, or any other online destination where someone can learn more about you or connect in some fashion
Choose a font point that's too small or style that's difficult to read
Go over one page
Talk about school activities if you've been out of school more than 2 years