I've been at this a long time. My passion for interactive started with Grateful Dead and Phish newsgroups in 1994. I started working in interactive marketing in 1996.
There's not anything I wish for. I went into it knowing that the opportunities down the line would be huge (and they are), that measurement and customization would be the soul of interactive marketing (and they are) and that I would LOVE every minute of working in interactive (which, generally, I have). I guess I wish someone told me to borrow from my parents and invest the money in San Francisco real estate in 1996. That would've been a good one.
My advice: Whatever a "green" interactive marketer thinks about measurement is just the beginning. We can measure everything.
Start every project with a clear objective, a clear understanding of what you will measure and how it delivers on the objective, a clear understanding of the most likely outcomes, and a clear understanding of the recommended next action for each outcome. Like I said, everything in our medium can be measured, even branding projects.
Don't wimp out. Integrate measurement into the beginning of the process for every project and stay with it. The end result is that you will be far better prepared than your traditional media peers when it comes to defending or winning budget allocations because you can defend your spend and document your improvement or your lessons learned.
Also, by focusing on measurement, you will be better suited to take on overall responsibility for marketing because winning in future marketing will require constant planning of marketing experiments to generate insights that drive greater customer knowledge and enable more effective marketing communications.