I'm not so much into sports photography, but on occasion I stumble across something where things happen fast, and you really have to act accordingly. My recommendations:
1. If you use a compact, have it always on. Because the delay most normal compacts have from switching them on to them beeing ready may prove too long for that opportunity
2. If you use a DSLR, take a super-zoom, like the Nikon 18-200mm. You will seldom have the time to swap lenses, once the action commences!
3. Use continuous shutter to just press the trigger and happily shoot away! With action, it's almost impossible to hit the right time with a single shot
4. Open the aperture and use the shortest available shutter speed. That may sound like a no-brainer, but some people do believe that image stabilization like Canons IM or Nikons VR can help you make sharp shots of moving object. They don't!
In some cases the fully automatic mode may be ok for action, like with the Nikon D80 I own, because this automatic has a high priority on short shutter speeds over smaller apertures.
As an example of what I mean, view this sequence of wet action at Wellington:
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