I know some of the people who read this blog (or who will see links to this post on Twitter) are into laser diode projects, so I thought I'd throw out some of the lore I've acquired on the topic.
1. ...are current driven devices: Always drive them as such, being careful to limit the current through them to some relatively safe value. 30mA is not an unreasonable guess; as they age the current required for the same output power will increase.
2. ...aren't very laser-like: Don't expect a laser diode to put out a tidy little dot of light. That requires some optics. As the current pushed through a laser diode goes up, the efficiency of the device increases, and the divergence angle of the beam decreases. The beam tends to project an ellipsoidal shape on a perpendicular surface; the larger of the two dimensions will change more as the current goes up, while the smaller dimension won't change much at all. This is why laser pointers do not project a perfectly round dot of light.
3. ...are easily damaged by excessive current: Unlike LEDs and most other components, where excessive current draw kills by heat, laser diodes can be killed by exceeding, even momentarily, their maximum safe optical power output. Too many photons will damage the facets of the die, causing them to rapidly degenerate.
4. ...are easily damaged by static electricity: These are probably the most sensitive devices the average user will ever encounter. Static discharges of below 25V can kill or damage a laser diode.
5. ...can be readily damaged by heat during soldering: A laser diode overheated by 10-15°C and heated for too long by 2-3 seconds can be destroyed or have its lifespan significantly degraded. Always solder at the lowest possible temp, as quickly as possible, using lead-bearing solder if you can.
6. ...have a sharp "knee" in their output power curve: At some point, the laser diode passes the "lasing" threshold, above which the output increases linearly and very steeply with regard to increased input current. The device's efficiency in the datasheet will usually be given for this area, in terms of mW/mA.
7. ...usually have built-in feedback: Many laser diodes will have a built-in photodiode which will allow you to make an educated guess at how many mW of optical power are coming out of the diode. If you have access to the datasheet, there will be an efficiency value stated in there which describes the output current of the photodiode for a given bias voltage in mA/mW of optical power. This can be a very good thing to watch to make sure you don't blow the diode by overdriving it.
8. ...have a fast response time: Laser diodes are LED-like enough to be modulated at pretty high frequencies, providing a usable communications link for longer distances fairly easily.
So, that's all I can think of right now. In short, in most cases, you're better off buying a laser pointer or laser diode module and using that, since the optics and protection circuitry are taken care of and built right in. That's not always an option on a hobbyist budget, especially if your source for laser diodes is old optical drives.