This is a simple, but important tip:

Tabbed interfaces have emerged everywhere, and also Vim 7 comes with support for it. For projects consisting of multiple files, I find it easier to work with tabs than with split windows and multiple buffers. Of course we need some better keybindings:

inoremap <M-n> <C-o>gt
inoremap <M-p> <C-o>gT
inoremap <M-w> <Esc>:tabclose<Cr>
inoremap <M-t> <Esc>:tabe<Cr>

nnoremap <M-n> gt
nnoremap <M-p> gT
nnoremap <M-w> :tabclose<Cr>
nnoremap <M-t> :tabe<Cr>

Also, making the tab bar always visible encourages you to use them more:

set showtabline=2

Now remember to use the -p parameter when you open Vim with multiple files:

vim -p *.tex

Having multiple files open in for instance LaTeX projects also allows you to use completion in references to labels in the corresponding files.

BTW add colon and underscore to iskeyword to enable completion for labels like fig:nice_figure. Oh yes, and use latex-suite…